Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471, or E E 387 and consent of the Department.
| Section | Capacity | Class times | Instructor(s) |
|---|---|---|---|
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LECTURE B1
(18405) |
27 |
2024-01-08 - 2024-04-12 (TR)
11:00 - 12:20
CAB 281
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Primary Instructor: Anastasiya Tanana
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| Section | Capacity | Class times | Instructor(s) |
|---|---|---|---|
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LECTURE Q1
(76589) |
27 |
2025-01-06 - 2025-04-09 (TR)
11:00 - 12:20
CAB 281
|
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