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Monte Carlo Methods for Financial Applications

  • Number of credits 7.5 credits
  • Level Master’s level
  • Starting Spring Term 2023

About the course

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 credits

Visa tillfällen för föregående termin Spring Term 2023 Det finns inga senare terminer för kursen

Starts

28 April 2023

Ends

4 June 2023

Study location

Umeå

Language

English

Type of studies

Daytime, 100%

Required Knowledge

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 and Swedish equivalent to the level required for basic eligibility for higher studies. Entry requirements

Selection

Guaranteed place 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 code

UMU-58117

Application

The online application opens 15 September 2022 at 13:00 CET. Application deadline is 17 October 2022. How to apply

Application and tuition fees

As a citizen of a country outside the European Union (EU), the European Economic Area (EEA) or Switzerland, you are required to pay application and tuition fees for studies at Umeå University.

Application fee

SEK 900

Tuition fee, first instalment

SEK 17,850

Total fee

SEK 17,850

Contact us

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Contactperson for the course is:
Study counselor Lars-Daniel Öhman