Monte Carlo Methods for Financial Applications

Utbildningsfakta

Kod: 5MA178

Monte Carlo-methods is a collection name for statistical simulation methods. The course aims to give a considerable familiarity for using Monte Carlo methods for the pricing and risk analysis of finansial derivatives. This is achieved through practical use of the methods. Special attention is given to the principles of Monte Carlo-simulation of underlying interest- and price processes, given by stochastic differential equations, different techniques for variance reduction, quasi-Monte Carlo, pricing of European and American options, and calculation of Greeks (sensitivities).

Behörighet

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.

Utbildningstillfällen

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• Monte Carlo Methods for Financial Applications

  Umeå University

  Startdatum: 25 mars 2027

  Slutdatum: 6 juni 2027

  Studietakt: 50 %