Monte-Carlo methods in financial engineering - 5MMMMCF

Informations générales

  • 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)

Jérôme 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 écrit (2h)

Resit : Examen écrit (2h)

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2026-2027

Additional Information

Course ID : 5MMMMCF
Course language(s): FR

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).