Monte Carlo Simulation with Applications to Finance

Catalog description

The course will cover the basics of Monte Carlo and its applications to financial engineering: generating random variables and simulating stochastic processes; analysis of simulated data; variance reduction techniques; binomial trees and option pricing; Black-Scholes formula; portfolio optimization; interest rate models. The course will use MATLAB as the standard simulation tool. Prerequisites: Multivariable calculus; Linear algebra; APMA 1655 or equivalent.