New Jersey Institute of Technology
Department of Mathematical Sciences

Math 666, Simulation for Finance
Spring 2018

Instructor: David J. Horntrop 

Contact Information: 520 Cullimore Hall, 596-5678,,

Office Hours:

  4:00pm - 5:30pm Mon.
  4:00pm - 5:30pm Tues.
  or by appointment


Paul Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004.

P. Jackel, Monte Carlo Methods in Finance, Wiley, 2002.

D. McLeish, Monte Carlo Simulation and Finance , Wiley, 2005.

Prerequisites: Prior coursework in probability/stochastic processes, linear algebra, and differential equations; ability to write computer programs.

Examinations: There will be a midterm examination and a final examination. The midterm examination will occur before the "drop'' deadline. The final examination date, time, and location will be determined by the university.

Homework: Homework assignments/projects will be given frequently. Each assignment must be turned in at the beginning of class. Late assignments are NOT accepted. Early assignments are always welcomed and are appropriate for preplanned absences from class. As a standing assignment, you should read the relevant sections of the textbook prior to lecture.

Quizzes: From time to time, quizzes may be given. Make up quizzes are NOT given.

Grading: The midterm examination will represent 35% of your grade. The final examination will be worth 35% of your grade. The remaining 30% of your grade will be determined by your homework/quizzes/projects.

Attendance: Attendance at and participation in all lectures is expected. If you know in advance that you will be absent from class for a legitimate reason, please tell me prior to your absence so that appropriate arrangements (if any) can be made. Tardiness to class is very disruptive of the classroom environment and should be avoided.

Academic Integrity Code: The NJIT Academic Integrity Code applies to all activities associated with the course, including but not limited to homework, quizzes, examinations, and projects. As an example, when you submit a homework assignment, you are certifying that your paper contains only your work and is not copied from other people or sources.

Course Topics: Major topics for this course include: