Jun 01, 2020  
Rensselaer Catalog 2018-2019 
    
Rensselaer Catalog 2018-2019 [Archived Catalog]

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MGMT 6440 - 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: MGMT 6510 Financial Computation or permission of instructor.

When Offered: Spring term annually.



Credit Hours: 3



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