IEOR E4703: Monte-Carlo Simulation
I last taught this advanced-level MS course in spring 2017 in the IE&OR Department at Columbia University. The focus of the course was on Monte-Carlo methods with applications in finance but other application areas were also considered, particularly when it came to the topic of MCMC and Bayesian modeling. I will not be posting solutions to the assignments or code / software so please don’t send me an email asking me to do so! A syllabus and description of the course logistics can be found here.
Lecture Notes and Slides
- Generating Random Variables and Stochastic Processes and slides
- Output Analysis and Run-Length Control and slides
- Simulation Efficiency and an Introduction to Variance Reduction Methods and slides
- Further Variance Reduction Methods and slides
- Simulating Stochastic Differential Equations and slides
- Estimating the Greeks and slides
- MCMC and Bayesian Modeling and slides
An extended tutorial on MCMC and Bayesian Modeling that grew out of these notes can be found here. - Other Topics and slides