Monte-Carlo methods and their applications to the pricing and hedging of financial derivativesContact Jérôme LELONG
The exam is given in english only
E1 = examen écrit
E2 = examen écrit (session de rattrapage)
This course is given in english only
P. Jackel, Monte Carlo methods in finance, Wiley (2002).
P. Glasserman, Monte Carlo methods in financial engineering, Springer (2003).