Number of hours
- Lectures 12.0
- Laboratory works 18.0
ECTS
ECTS 3.0
Goal(s)
Monte-Carlo methods and their applications to the pricing and hedging of financial derivatives
Contact Jérôme LELONGContent(s)
- Sampling Random distributions, discretization of Brownian motion, Brownian bridge;
- Low discrepency sequences;
- Variance reduction: stratification, antithetic random variables, importance sampling, adaptive Monte Carlo methods;
- Numerical methods for computing Greeks.
Prerequisites
Test
N1=E1
N2=E2
E1 = examen écrit
E2 = examen écrit (session de rattrapage)
Additional Information
Curriculum->Financial Engineering->Semester 9
Bibliography
P. Jackel, Monte Carlo methods in finance, Wiley (2002).
P. Glasserman, Monte Carlo methods in financial engineering, Springer (2003).