Academic Catalog

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. MR UUR
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.