Risk Simulation and Monte Carlo Methods

Catalog description

Risk Simulation and Monte Carlo Methods deals with the concepts of randomness and risk in financial management, project analysis, capital budgeting, stock valuations, derivatives, and investment portfolios. The focus of the course is on applying realistic probability models through Monte Carlo simulation and optimization to a wide variety of relevant problems in investment, agriculture and other applications. In a addition to lectures, weekly seminars will This seminar will explore the development of Monte Carlo simulation from a historical point of view, examine in greater detail stochastic processes, and understand the basic structure of Ito processes and the stochastic calculus and how to employ these techniques in Monte Carlo simulations.