Number of hours
- Lectures 18.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works 18.0
- 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
Evaluation : Examen Ecrit (2h)
Resit : Examen Ecrit (2h)
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 Finance.
- Team Probability-Statistics
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).