Monte Carlo Methods and Financial Applications
Financial Modelling 9593B
Description: This course is intended to be an introduction to Monte Carlo simulation methods. Topics to be covered include i) random number generation for uniform, non-uniform, discrete and continuous distributions; ii) simulation of stochastic processes; iii) variance reduction techniques; and iv) special topics as time allows. The use of simulation in financial applications, including derivatives pricing, will be emphasized.
Term: B
Extra Information: Formerly listed as Applied Mathematics 9593b.
Outlines of this course offered in past school years
| Course | Instructor(s) | Outline | Term | School Year |
| FM9593B001 | Hao Yu |  |
B | 2018/2019 |
| FM9593B001 | Hao Yu | |
B | 2017/2018 |
| FM9593B001 | Hao Yu | |
B | 2017/2018 |
| FM9593B001 | Hao Yu | |
B | 2015/2016 |
| FM9593B001 | Hao Yu | |
B | 2014/2015 |
| FM9593B001 | Hao Yu | |
B | 2013/2014 |