STAT 906 FALL 2005
Don L. Mcleish

Computer Intensive Methods For Stochastic Models in Finance

COURSE SLIDES (2005)

COURSE NOTES FALL 2004

Newer version, Chapters 1-6

	Contents	Page
	Chapter 1: Introduction	1
	Chapter 2: Some Basic Theory of Finance	13
	Chapter 3: Basic Monte Carlo Methods	97
	Chapter 4: Variance Reduction Techniques	211
	Chapter 5: Simulating the Value of an Option	265
	Chapter 6: Quasi-Monte Carlo Multiple Integration	311
	Chapter 7: Estimation and Calibration	339
	Chapter 8: Sensitivity Analysis, Estimating Derivatives	413
	Chapter 9. Conclusions
	References
	Appendix D: Partial Differential Equations

•  Midterm exam, 2003
• Solutions to Midterm, 2003
• Supplementary Problems
• Problems, some with solutions.