金融衍生品模型蒙特卡洛模拟方法与应用.pptx

MSF524-01:ModelsforFinancialDerivativesStuartSchoolofBusinessIllinoisInstituteofTechnologySpring2015Instructor:SangBaum“Solomon”Kang,PhDFRMLecture05

Beforewestart,…IhaveuploadedAssignment#2.Thedeadlineiswritteninthesyllabus.Let’sgotoslide24ofLecture4slides.2MSF524-01,IITStuartSchoolofBusiness

LearningObjectivesMCSimulation:UnderstandLinearCongruentialGeneratoranditsProblem.Knowhowtouserng()andrand()function.Understandtheinversetransformationmethod.Knowhowtouserandn()function.UnderstandthediscretizationofGeometricBrownia