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 PDF B 2018/2019
FM9593B001 Hao Yu PDF B 2017/2018
FM9593B001 Hao Yu PDF B 2017/2018
FM9593B001 Hao Yu PDF B 2015/2016
FM9593B001 Hao Yu PDF B 2014/2015
FM9593B001 Hao Yu PDF B 2013/2014

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