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• Part 1: Methods

1. Static Monte Carlo
2. Dynamic Monte Carlo
3. Dynamic Programming for Stochastic Optimization
4. Finite Differences
5. Linear Systems and PDEs
6. Quadrature Methods
7. The Laplace Transform
8. Dependence and Copulas

• Part 2: Cases

Portfolio Management

1. Optimizing an Error
2. Alpha, Beta and Beyond
3. Automatic Trading

Vanilla Options

1. Risk Neutral Density
2. American Monte Carlo
3. Volatile Volatility

Exotic Derivatives

1. An Average Problem
2. Quasi Monte Carlo
3. Discrete Lookbacks
4. Electrifying the Price of Power
5. A Sparkling Option
6. Swinging on a Tree

Interest and Credit

1. Floating Mortgages
2. Basket Default Swaps
3. Scenario Simulation with PCA

Financial Econometrics

1. Parametric Estimation of Jump-Diffusion Models
2. Nonparametric Estimation of Jump-Diffusion Models
3. A Smiling GARCH

Appendix