Simulation (U01890)

? Credit Points : 10 ? SCQF Level : 10 ? Acronym : MAT-4-Sim

Course for final year students in Honours programmes in Mathematics and/or Statistics.

Introduction to Monte Carlo methods and random number generation. Use of simulation for option pricing. Variance reduction methods. Markov Chain Monte Carlo and related methods.

Entry Requirements

? This course is not accepting further student enrolments.

? Pre-requisites : (Passes at C or better in MAT-2-FoC, MAT-2-SVC, MAT-2-LiA, MAT-2-MAM) and (MAT-2-Prb, MAT-2-SMe, MAT-2-StM)

Subject Areas

Home subject area

Specialist Statistics (Year 4), (School of Mathematics, Schedule P)

Delivery Information

? Normal year taken : 4th year

? Delivery Period : Semester 1 (Blocks 1-2)

? Contact Teaching Time : 2 hour(s) per week for 11 weeks

First Class Information

Date	Start	End	Room	Area	Additional Information
22/09/2008	15:00	15:50	Lecture Room 6206, JCMB	KB

All of the following classes

Type	Day	Start	End	Area
Lecture	Monday	15:00	15:50	KB
Lecture	Thursday	14:00	14:50	KB

Summary of Intended 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. Understanding of Markov Chain Monte Carlo methods
6. Ability to built and use a simple Gibbs sampling model