MONTE CARLO SIMULATION

Code: MA226 | L-T-P-C: 0-1-2-4

Principles of Monte Carlo; Generating random numbers (linear congruential generators, random vectors, Fibonacci generators, transformed random variables); Normally distributed random variables (Box, Muller and Marsaglia methods, correlated random variables); Low discrepancy numbers ( Monte Carlo integration, discrepancy, low discrepancy sequences, Halton sequence).

Texts:

1. P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004
2. R. Seydel, Tools for Computational Finance, Springer, 2002.