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 ...
Nature

Stochastic Processes and Financial Applications

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...
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 ...
lse

Stochastic Simulation

This course is available on the BSc in Actuarial Science. This course is not available as an outside option nor to General Course students. As numbers might need to be capped if it proves too popular, ...