Number of hours
- Lectures 15.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works 21.0
- Written tests -
ECTS
ECTS 4.0
Goal(s)
Monte-Carlo methods and their applications to the pricing and hedging of financial derivatives
Responsible(s)
Jerome LELONG
Content(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.
Test
N1=E1
N2=E2
E1 = examen écrit
E2 = examen écrit
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : 5MMMMCF
Course language(s):
The course is attached to the following structures:
- Team Probability-Statistics
- Team Finance.
You can find this course among all other courses.
Bibliography
P. Jackel, Monte Carlo methods in finance, Wiley (2002).
P. Glasserman, Monte Carlo methods in financial engineering, Springer (2003).