Principles of Monte Carlo, generation of random numbers from a uniform distribution: linear congruential generators and its variations, inverse transform and acceptance-rejection methods of transformation of uniform deviates, simulation of univariate and multivariate normally distributed random variables: Box-Muller and Marsaglia methods, variance reduction techniques, generation of Brownian sample paths, quasi-Monte Carlo: Low discrepancy sequences.

Texts/References:

• P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004.
• R. Seydel, Tools for Computational Finance, 4th Edition, Springer, 2009.