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MA 548 Monte Carlo Methods for Financial Math
Monte Carlo (MC) methods for accurate option pricing, hedging and risk management. Modeling using stochastic asset models (e.g. geometric Brownian motion) and parameter estimation. Stochastic models, including use of random number generators, random paths and discretization methods (e.g. Euler-Maruyama method), and variance reduction. Implementation using Matlab. Incorporation of the latest developments regarding MC methods and their uses in Finance.
Typically offered in Spring only
Computer Engineering (BS): Artificial Intelligence and Machine Learning Concentration
...and systems software (ECE 448/548, 465/565). 7 MA 405 is recommended for students...