MONTE CARLO SIMULATION METHODS
Prerequisite: IEOR E4106 or the equivalent. Multivariate random number generation, bootstrapping, Monte Carlo simulation, efficiency improvement techniques. Simulation output analysis, Markov-chain Monte Carlo. Applications to financial engineering. Introduction to financial engineering simulation software and exposure to modeling with real financial data.
Department: Industrial Engineering and Operations Research(IEOR)
Subject: Industrial Engineering and Operations Research(IEOR)
School: Fu Foundation School of Engineering and Applied Science
Division: School of Engineering and Applied Science: Graduate
Course ID: 4703