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Syllabus:

Monte Carlo Methods for Financial Applications, 7.5 credits

The course is discontinued

Swedish name: Monte Carlo-metoder för finansiella tillämpningar
This syllabus is valid: 2010-11-01 valid to 2011-10-30 (newer version of the syllabus exists)
Syllabus for courses starting between 2010-11-01 and 2011-10-30
Course code: 5MA082
Credit points: 7.5
Education level: Second cycle
Main Field of Study and progress level: Mathematics: Second cycle, has only first-cycle course/s as entry requirements
Computational Science and Engineering: Second cycle, has only first-cycle course/s as entry requirements
Grading scale: Pass with distinction, Pass with merit, Pass, Pass with distinction, Pass, Fail
Responsible department: Department of Mathematics and Mathematical Statistics

Required Knowledge

English proficiency equivalent to IELTS Academic Training –minimum score 5.0 with no individual score below 4.5 (Tests taken before January 2005 not admissible or TOEFL – minimum score 500 on paper based test and not below 4.0 on the TWE, Alternatively 173 on computer based test with iBT61 is also required as well as basic entrance requirements for higher studies in Swedish language proficiency if the course in taught in Swedish.

Literature

Valid from: 2010 week 44

Glasserman Paul
Monte Carlo methods in financial engineering
New York : Springer : cop. 2004 : 596 s. :
ISBN: 0-387-00451-3 (alk. paper)
Search the University Library catalogue