MONTE CARLO SIMULATION

Code: MA323 | L-T-P-C: 0-1-2-4

Prerequisites: MA225 or Equivalent

Principles of Monte Carlo; Generation of random numbers from a uniform distribution - linear congruential generators and its variations; Generation of discrete and continuous random variables - inverse transform and acceptance-rejection method; Simulation of univariate normally distributed random variables - Box-Muller and Marsaglia methods; Generation of multivariate normally distributed random variables - Cholesky factorization; Generation of geometric Brownian motion and jump-diffusion sample paths; Variance reduction techniques; Quasi Monte Carlo - general principles and low discrepancy sequences.

Texts:

1. P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004.
2. R. U. Seydel, Tools for Computational Finance, 5th Ed., Springer, 2012.