Ensimag Rubrique Formation 2022

Monte-Carlo methods in financial engineering - 5MMMMCF

  • 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:

see the course schedule for 2025-2026

Additional Information

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

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).