Professor Karl Sigman's Lecture Notes on Monte Carlo Simulation

Instructor: Professor Karl Sigman
Department of Industrial Engineering and Operations Research

Phone: (212) 854-3556
FAX: (212) 854-8103


Lecture Notes

  1. The acceptance rejection method with applications; generating a standard normal random variable
  2. Simulating Brownian motion and geometric Brownian motion in one and two dimensions
  3. Simulation of Markov chains
  4. Introduction to variance reduction methods
  5. Simulating renewal processes, Poisson processes (stationary and non-stationary), compound Poisson processes
  6. Introduction to estimating sensitivites such as the Greeks (sample-path method, score function method, finite-difference method)
  7. Importance sampling