IAM757 SPECIAL TOPICS: MONTE CARLO METHODS IN FINANCE AND INSURANCE
| Course Code: |
9700757 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(0-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
Prof.Dr. ÖMÜR UÐUR |
| Offered Semester: |
Fall and Spring Semesters. |
Course Content
Generating Random Numbers; Basic Principles of Monte Carlo; Numerical Schemes for Stochastic Differential Equations; Simulating Financial Models; Jump-Diffusion and Levy Type Models; Simulating Actuarial Models; Markov Chain Monte Carlo Methods.
