ORIE 5582

Last Updated

  • Schedule of Classes - June 8, 2025 7:22PM EDT
  • Course Catalog - June 8, 2025 7:07PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the 2024-2025 Catalog.

An overview of Monte Carlo methods as they apply in financial engineering. Generating sample paths. Variance reduction (including quasi random number), discretization, and sensitivities. Applications to derivative pricing and risk management.


When Offered Spring.

View Enrollment Information

Syllabi:

  •   Seven Week - Second.  Choose one lecture and one discussion.

  • 2 Credits Stdnt Opt

  • 12387 ORIE 5582   LEC 001

  •  
    • TR
    • Mar 12 - May 6, 2025

    • Wu, D

  • Instruction Mode: In Person

    Enrollment limited to: graduate students; others by permission of department.

  • 12388 ORIE 5582   DIS 201

  •  
    • F
    • Mar 12 - May 6, 2025

    • Wu, D

  • Instruction Mode: In Person