ORIE 5582

Last Updated

  • Schedule of Classes - September 22, 2025 1:06PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the 2025-2026 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.


Last 4 Terms Offered 2025SP, 2024SP, 2023SP, 2022SP

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Syllabi: none

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

  • 2 Credits Stdnt Opt

  • 10561 ORIE 5582   LEC 001

  •  
    • TR
    • Mar 11 - May 5, 2026

    • Wu, D

  • Instruction Mode: In Person

    Enrollment limited to: graduate students; others by permission of department.

  • 10562 ORIE 5582   DIS 201

  •  
    • F
    • Mar 11 - May 5, 2026

    • Wu, D

  • Instruction Mode: In Person