ORIE 5582

Last Updated

  • Schedule of Classes - May 15, 2019 12:56PM EDT
  • Course Catalog - March 4, 2019 1:00PM EST

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the 2018-2019 Catalog.

An overview of Monte Carlo methods as they apply in financial engineering. Generating sample paths. Variance reduction (including quasi random number), discretization, and sensitivities. Applications to derivative pricing and risk management.


When Offered Spring (weeks 8-14).

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Syllabi: none

  •   Seven Week - Second.  Choose one lecture and one discussion.

  • 2 Credits Stdnt Opt

  • 14602 ORIE 5582   LEC 001

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  • Instruction Mode: In Person

  • 14603 ORIE 5582   DIS 201

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  • Instruction Mode: In Person