Monte-Carlo methods in financial engineering - WMMF9M12

• 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.

N1=E1
N2=E2

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

The course exists in the following branches:

• Curriculum - Financial Engineering - Semester 9

Course ID : WMMF9M12
Course language(s):

The course is attached to the following structures:

• Team Finance.
• Team Probability-Statistics

You can find this course among all other courses.

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