Core Curriculum
Monte Carlo Methods & Optimization Methods
Course Outline
There are a total of 12 lectures, each running for 3 hours.
Recommended Readings
Website
- Monte Carlo Methods in Financial Engineering, Paul Glasserman
- Practical Optimization: Algorithms and Engineering Applications, Andreas Antoniou, Wu-Sheng Lu
- Convex Optimization – Boyd and Vandenberghe
- Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications, Aharon Ben-Tal, Arkadi Nemirovski
