Ensimag Rubrique Formation 2022

Monte-Carlo methods in financial engineering - WMMF430

  • Number of hours

    • Lectures 9.0
    • Laboratory works 9.0

    ECTS

    ECTS 1.87

Goal(s)

Monte-Carlo methods and their applications to the pricing and hedging of financial derivatives

Contact 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.


Prerequisites

Test

The exam is given in english only 



N1=E1
N2=E2

E1 = examen écrit
E2 = examen écrit (session de rattrapage)

Additional Information

This course is given in english only EN

Curriculum->For Financial Engineering->Semester 5

Bibliography

P. Jackel, Monte Carlo methods in finance, Wiley (2002).
P. Glasserman, Monte Carlo methods in financial engineering, Springer (2003).