Undergraduate Course: Simulation (MATH10015)
Course Outline
School | School of Mathematics |
College | College of Science and Engineering |
Credit level (Normal year taken) | SCQF Level 10 (Year 4 Undergraduate) |
Availability | Available to all students |
SCQF Credits | 10 |
ECTS Credits | 5 |
Summary | Course for final year students in Honours programmes in Mathematics and/or Statistics.
Random number generation, basic Monte Carlo, variance reduction techniques, simulating Brownian paths,
Strong and weak approximations of solutions to SDEs,
Euler's approximations, Milstein's scheme,
Order of accuracy of the approximations,
Higher order schemes, accelerated convergence
Weak approximations of SDEs via numerical solutions of PDEs
Option price sensitivities (Greeks). |
Course description |
Not entered
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Information for Visiting Students
Pre-requisites | None |
Course Delivery Information
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Academic year 2015/16, Available to all students (SV1)
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Quota: None |
Course Start |
Semester 2 |
Timetable |
Timetable |
Learning and Teaching activities (Further Info) |
Total Hours:
100
(
Lecture Hours 22,
Seminar/Tutorial Hours 5,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
69 )
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Assessment (Further Info) |
Written Exam
95 %,
Coursework
5 %,
Practical Exam
0 %
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Additional Information (Assessment) |
Coursework 5%, Examination 95% |
Feedback |
Not entered |
No Exam Information |
Learning Outcomes
1. Understanding of Monte Carlo methods
2. Ability to simulate random numbers from standard distributions
3. Ability to numerically price some basic options
4. Understanding of variance-reduction techniques
5. Familiarity with numerical schemes for simulating solutions of SDEs.
6. Ability to apply simple higher order schemes.
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Contacts
Course organiser | Dr Lukasz Szpruch
Tel: (0131 6)50 5742
Email: |
Course secretary | Mrs Alison Fairgrieve
Tel: (0131 6)50 5045
Email: |
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© Copyright 2015 The University of Edinburgh - 27 July 2015 11:34 am
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