Mar 28, 2024  
Rensselaer Catalog 2014-2015 
    
Rensselaer Catalog 2014-2015 [Archived Catalog]

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MGMT 4440 - Financial Simulation


Knowledge of basics of simulation - random variable generation, statistical analysis of simulation output, and variance reduction methods.  Basic understanding of stochastic processes, stochastic calculus, and statistical estimation.  Introduction to financial markets, financial instruments and financial asset pricing models.  Simulation for valuation of securities, estimation of the “Greeks”, and assess risk management strategies.  Simulation to assess interest rate dependent claims and credit risk.  Simulation to make investment decisions and to measure investment performance.

Prerequisites/Corequisites: Prerequisites: MGMT 2320, MGMT 4040.

When Offered: Spring term annually.



Credit Hours: 4



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