Number of hours
- Lectures 9.0
- Laboratory works 9.0
ECTS
ECTS 1.75
Goal(s)
Present the theory of Monte-Carlo methods and their applications to the pricing and hedging of financial derivatives
Contact Jérôme LELONG
Content(s)
Prerequisites
Test
Give kind of exam for session 1 and session 2: written, allowed documents or not, oral, practical work, reports, plan, vivas
N1=(E1+TP)/2
N2=(E2+TP)/2
TP = moyenne des notes de TP
E1 = examen écrit
E2 = examen écrit (session de rattrapage)
Additional Information
Curriculum->For Financial Engineering->Semester 5
Bibliography
P. Jackel, Monte Carlo methods in finance, Wiley (2002).
P. Glasserman, Monte Carlo methods in financial engineering, Springer (2003).