Monte Carlo Methods for Financial Applications

Education facts

Code: 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).

Entry requirements

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.

Education offerings

Each offering has its own dates and conditions. Closed offerings are retained as history and do not mean that a new application is open.

• Monte Carlo Methods for Financial Applications

  Umeå University

  Start date: 25 March 2027

  End date: 6 June 2027

  Pace of study: 50 %