IEOR E4703:   Monte Carlo Simulation

Lecture notes for this course can be found by clicking on the links below. If a link is missing then it probably means that I am planning to revise the corresponding notes and will post them when I am done. (I have not taught this course since 2004 so the notes do need some updating.) I will not be posting assignments or solutions to the assignments so please do not send me an email asking me to do so! Finally, please note that I do not have time to answer emails asking me to clarify or explain issues arising in these notes.

1. Course Overview and Probability Review

2. Generating Random Variables and Stochastic Processes

3. The Monte-Carlo Framework

4. Output Analysis

5. Simulation Efficiency and Variance Reduction Techniques

6. Advanced Variance Reduction Methods: Importance Sampling and Stratified Sampling

7. Simulating Stochastic Differential Equations and a Very Brief Introduction to Low Discrepancy Sequences

8. Pricing American Options Using Monte-Carlo

9. Introduction to Markov-Chain Monte-Carlo (MCMC)