mccormick.northwestern.edu

IEMS 435: Stochastic Simulation

Graduate standing, or permission of instructor. Statistics, and real analysis at the undergraduate engineering or mathematics level; graduate level probability and stochastic processes (IEMS 460-1); ...
Risk

Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)

In this paper, we apply stochastic (backward) automatic differentiation to calculate stochastic forward sensitivities. A forward sensitivity is a sensitivity at a future point in time, conditional on ...
lse

Stochastic Simulation, Training, and Calibration

This course is compulsory on the MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in ...