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Umeå University
Monte Carlo Methods for Financial Applications
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…
- Higher education
- Information unavailable
- 25 March 2027
- Information unavailable
- Information unavailable
- 50 %
Overview
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).
Admission scores
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.
The text is reproduced from the Susa source. Antagningsdata does not map GY11 and GY25 or assess personal eligibility.
Source, measure and data quality
- Source
- Skolverket Susa-navet
- Period
- 2027-03-25
- Measure
- Entry-requirement text reproduced from the published Susa data; no personal eligibility assessment is made.
- Population
- Education offering e.uoh.umu.5ma178.a5809.20271
- Last checked
- 2026-09-23T10:39:35.037285+00:00
- Limitation
- Antagningsdata does not map GY11 and GY25. General and specific conditions are not separated without structured source data.
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- Programme or course starts
- Programme or course ends
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About the provider
Sources and data quality
Education facts for the selected offering come from Skolverket Susa-navet.
Retrieved . Published . Times are shown in Swedish local time.
Source identity and publication version
- Publication version
- 8e217193-f5fa-4778-b085-a4521fd03e8d
- Education identity in the source
- i.uoh.umu.5ma178.a5809.20271
- Offering identity in the source
- e.uoh.umu.5ma178.a5809.20271
- Education-form source code
- HS
- Education code in the source
- 5MA178
- Change time according to the source
- 2025-12-11T08:05:32
The provider, education and education offering are separate identities. Application information should be checked on the official website. Supplementary statistics have not been obtained from this source.