Simulation in Finance

aka
Monte Carlo Methods in Financial Engineering

Michael Carter
MCarter021@gmail.com

 

Course handbook References Classroom exercises Homework exercises Excel resources Finance resources
Midterm

 

Introduction

Foundations

Statistical foundations

Random number generation

Non-uniform distributions

Speeding up convergence

Reducing variance

Low discrepancy sequences

Special techniques

Sensitivity analysis

American-style derivatives

Non-Gaussian processes

Applications

Exotic options

Risk management

Miscellaneous

Excel and VBA