This course introduces Monte Carlo methods/simulations with a focus on applications in financial risk management and actuarial science. It covers the basics, including pseudorandom number generators, non-uniform distributions, and option pricing. This repository is a collection of in-class labs, homework and the final project I will have worked on.
| Week | Date | Topic/Activities |
|---|---|---|
| 1 | 4/2/24 | Introduction to Monte Carlo Method |
| 2 | 4/9/24 | Basics of Monte Carlo Method |
| 3 | 4/16/24 | Introduction to Options and Geometric Brownian Motion |
| 4 | 4/23/24 | Pseudorandom Number Generators |
| 5 | 4/30/24 | Generating Numbers from Non-Uniform Distributions |
| 6 | 5/7/24 | Generating Sample Paths of Geometric Brownian Motion |
| 7 | 5/14/24 | Pricing Options Exercised at Maturity |
| 8 | 5/21/24 | Control Variate Method |
| 9 | 5/28/24 | Importance Sampling Method |
| 10 | 6/4/24 | Final Project Oral Presentation |