Monte Carlo methods can be loosely defined as statistical simulation methods and are among the most widely used methods in financial applications. This course aims to give the students a significant familiarity with the application of Monte Carlo methods on the pricing and risk analysis of financial derivatives. We cover the underlying principles of Monte Carlo methods, random number generation from various probability distributions, simulation of Brownian motion and geometric Brownian motion, variance reduction techniques, quasi Monte Carlo methods, calculation of sensitivities and pricing of American options. Use of computers for implementing the methods covered is a central part of the course.
Monte Carlo Methods for Financial Applications, 7.5 credits
Spring Term 2026
Starts
4 May 2026
Ends
7 June 2026
Study location
Umeå
Language
English
Type of studies
Daytime,
100%
Required Knowledge
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.
Guaranteed place
Applicants in some programs at Umeå University have guaranteed admission to this course. The number of places for a single course may therefore be limited.
Application code
UMU-58117
Application
The online application opens 15 September 2025 at 09:00 CET.
Application deadline is
15 October 2025. How to apply
Application and tuition fees
As a citizen of a country outside the European Union (EU), the European Economic Area (EEA) or Switzerland, you are required to pay application and tuition fees for studies at Umeå University.
