Monte-Carlo methods in financial engineering - WMMF430

• 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.

The exam is given in english only 

N1=E1
N2=E2

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).