46-773 Simulation Methods

0 units, Carnegie Mellon University

This course initially presents standard topics in simulation including random variable generation, variance reduction methods and statistical analysis of simulation output. The course then addresses the use of Monte Carlo simulation in solving applied problems on derivative pricing discussed in the current finance literature. The technical topics addressed include importance sampling, martingale control variables, stratification, and the estimation of the Greeks. Application areas include the pricing of American options, pricing interest rate dependent claims, and credit risk. Recommended (but not required) Text Monte Carlo Methods in Financial Engineering, by Paul Glasserman (ISBN #0-387-00451-3). Course Materials Course materials will be distributed on the first day of class. Some coursework will be available through Carnegie Mellons Office of Technology Education blackboard website. Access to this website will be provided at the network orientation.

Prerequisites: none listed

Offered: Summer 2026

Courseweave needs JavaScript to show sections, workloads and planning tools.