IEOR E4703:   Monte Carlo Simulation   Fall 2004 

Information

• Syllabus and Course Logistics
• Teaching Staff

                        Instructor: Martin Haugh                                                     Teaching Assistant:  Sabri Celik
                        Room 530 S.W. Mudd Bldg.                                              Email: sc2190@columbia.edu
                        Email:  mh2078@columbia.edu                                           Office Hours:  Monday 3-5pm
                        Office Hours: Tuesday 11am-1pm and Friday 2-4pm

Course Announcements

• Solutions to the midterm exam and the midterm exam itself
• Final exam from spring 2003 and the solutions
• Solutions to final exam

Course Notes

1. Overview of Monte Carlo Simulation and Probability Review
2. Generating Random Variables and Stochastic Processes
3. The Monte Carlo Framework and Examples from Finance
4. Output Analysis and Run-Length Control
5. Variance Reduction Methods  I
6. Variance Reduction Methods  II
7. Simulating Stochastic Differential Equations
8. Pricing American Options using Monte Carlo Simulation

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