Syllabus Application
Monte Carlo Methods in Finance
IE 536
Faculty:
Faculty of Engineering and Natural Sciences
Semester:
Fall 2025-2026
Course:
Monte Carlo Methods in Finance - IE 536
Classroom:
FASS-1097
Level of course:
Masters
Course Credits:
SU Credit:3.000, ECTS:10
Prerequisites:
-
Corequisites:
-
Course Type:
Lecture
Instructor(s) Information
Semih Onur Sezer
- Email: sezer@sabanciuniv.edu
Course Information
Catalog Course Description
The course aims to introduce the Monte Carlo methods and techniques used in mathematical finance. In this field, many problems involve computing expectations. Pricing various derivatives, computing default/ruin probabilities, finding optimal/well-performing portfolios are some well-known examples of such problems. In the course, after discussing the basics of probability and simulation, we learn how Monte Carlo methods apply to these problems.
Course Learning Outcomes:
| 1. | Apply algorithms for random variable generation, |
|---|---|
| 2. | Generate sample paths of certain stochastic processes, |
| 3. | Use variance reduction techniques, |
| 4. | Apply Monte Carlo methods for the computations of expectation expressions arising in mathematical finance (for pricing derivative instruments, computing ruin probabilities, etc.) |
Course Objective
Introduce the Monte Carlo approach and teach its applications in the problems of mathematical finance