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文件名称：金融衍生品模型蒙特卡洛模拟方法与应用.pptx
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更新时间：2026-03-20
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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