Monte Carlo methods can be loosely defined as statistical simulation methods and are among the most widely used methods in financial applications. This course aims to give the students a significant familiarity with the application of Monte Carlo methods on the pricing and risk analysis of financial derivatives. We cover the underlying principles of Monte Carlo methods, random number generation from various probability distributions, simulation of Brownian motion and geometric Brownian motion, variance reduction techniques, quasi Monte Carlo methods, calculation of sensitivities and pricing of American options. Use of computers for implementing the methods covered is a central part of the course.
Application and eligibility
Monte Carlo Methods for Financial Applications, 7.5 hp
Spring Term 2018
Lectures begin on week starting 23 April 2018
Lectures end during the week of 28 May 2018
English (upon request)
Type of studies
The course requires 90 ECTS including 22,5 ECTS in Calculus of which 7,5 ECTS in Multivariable Calculus and Differential Equations and a basic course in Mathematical Statistics, minimum 6 ECTS. Proficiency in English equivalent to Swedish upper secondary course English 5/A. Where the language of instruction is Swedish, applicants must prove proficiency in Swedish to the level required for basic eligibility for higher studies.
Applicants in some programs at Umeå University have guaranteed admission to this course. The number of places for a single course may therefore be limited.
Application deadline was
16 October 2017.
Please note: This second application round is intended only for EU/EEA/Swiss citizens.