Monte-Carlo methods in financial engineering - 5MMMMCF6
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Number of hours
- Lectures : 12.0
- Laboratory works : 18.0
ECTS : 3.0
Goals
Monte-Carlo methods and their applications to the pricing and hedging of financial derivatives
Contact Jérôme LELONG
Content - 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.
Prerequisites
Tests
N1=E1
N2=E2
E1 = examen écrit
E2 = examen écrit (session de rattrapage)
Bibliography P. Jackel, Monte Carlo methods in finance, Wiley (2002).
P. Glasserman, Monte Carlo methods in financial engineering, Springer (2003).
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Date of update January 15, 2017
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