FSRM 16:958:587 Advanced Simulation Methods for Finance

Prerequisites: 16:958:563, and 16:198:443 or equivalent C++  course or permission of instructor. Modern simulation methods and advanced statistical computing techniques for financial applications. Introduction to Monte-Carlo simulation methods, variance reduction technique, the bootstrap methods, Markov chain Monte Carlo methods, Sequential Monte Carlo method, hidden Markov models, Bayesian methods, etc. Expect to use C++ and R for programming and data analysis.  Emphasis on examples and applications from finance and risk management.