Principles of Monte Carlo; Generating random numbers (linear congruential generators, random vectors, Fibonacci generators, transformed random variables); Normally distributed random variables (Box, Muller and Marsaglia methods, correlated random variables); Low discrepancy numbers (Monte Carlo integration, discrepancy, low discrepancy sequences, Halton sequence).

Texts/References:

• P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004.
• R. Seydel, Tools for Computational Finance, 3rd Edition, Springer, 2006.