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.
Monte Carlo Methods for Financial Applications, 7.5 credits
Spring Term 2024
The information below is only for exchange students
Starts
26 April 2024
Ends
2 June 2024
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.
Selection
Students applying for courses within a double degree exchange agreement, within the departments own agreements will be given first priority. Then will - in turn - candidates within the departments own agreements, faculty agreements, central exchange agreements and other departmental agreements be selected.
Application code
UMU-A5806
Application
This application round is only intended for nominated exchange students. Information about deadlines can be found in the e-mail instruction that nominated students receive.
The application period is closed.
