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401-3673-00L 6 Credits

Monte Carlo Methods in Financial Engineering

Monte Carlo Methods in financial engineering

Lecturers & Examiners: Prof. Dr. Andreas Prohl, Prof. Dr. Philipp Schönbucher
VVZ CR n/a

Last Updated: 2026-02-05 14:59:46

Abstract

Monte Carlo simulation is one of the central numerical methods for the calculation of prices and risk parameters in financial engineering. Using Glasserman's book, we will cover the basic principles of MC simulation and also address various methods to improve convergence and to solve certain special problems.

Resources

Literature

Paul Glasserman "Monte Carlo Methods in Financial Engineering", Springer, 2003

General Information

Language
German
Frequency
Yearly recurring

Examination

Type
ungraded semester performance

Course Components

Type Title Time & Place Hours
seminar Monte-Carlo Methods in financial engineering
  • Wed 17:15-19:00 (HG E 33.3)
2 h weekly

Offered In