[MaPhySto logo]
MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation



Concentrated Advanced Course on

Monte Carlo Methods in Financial Engineering

Lectures by Professor Paul Glasserman, Columbia University

Monday 28 May - Friday 1 June, 2001
Department of Mathematical Sciences, University of Aarhus

Organized by MaPhySto and the Danish Doctoral Education Network in Finance

Content:

This course covered the development, analysis, and application of Monte Carlo methods in financial engineering and risk management. Emphasis was placed on understanding the efficiency of Monte Carlo methods, combining computational and statistical considerations. Techniques were illustrated through applications of current interest in industry and in research.

Course Outline:

Course Program:

Monday 28 May
11.00-12.00 Registration
12.00-12.15 Welcome
12.15-14.00 Glasserman
14.00-14.30 Coffee/tea
14.30-16.30 Glasserman

Tuesday 29 May
09.15-10.45 Glasserman
10.45-11.15 Coffee/tea
11.15-12.45 Glasserman
12.45-13.45 Lunch
13.45-15.15 Glasserman
15.15-15.45 Coffee/tea
15.45-17.00 Exercises

Wednesday 30 May
09.15-10.45 Glasserman
10.45-11.15 Coffee/tea
11.15-12.45 Glasserman
12.45-13.45 Lunch
13.45-15.15 Lectures by participants
15.15-15.45 Coffee/tea
15.45-17.00 Exercises

Thursday 31 May
09.15-10.45 Glasserman
10.45-11.15 Coffee/tea
11.15-12.45 Glasserman
12.45-13.45 Lunch
13.45-15.15 Exercises
15.15-15.45 Coffee/tea
15.45-17.00 Exercises

Friday 1 June
09.15-10.45 Glasserman
10.45-11.15 Coffee/tea
11.15-12.45 Glasserman
12.45-13.45 Lunch
13.45-15.15 Exercises
15.15-15.45 Coffee/tea

Organizers:

Jørgen Aase Nielsen, University of Aarhus
Kristian R. Miltersen, University of Southern Denmark, Odense
Søren Asmussen, University of Lund [an error occurred while processing this directive]

Participants