Syllabus:

Monte Carlo Methods for Financial Applications, 7.5 credits

The course is discontinued

Swedish name: Monte Carlo-metoder för finansiella tillämpningar

This syllabus is valid: 2015-01-12 and until further notice

Course code: 5MA156

Credit points: 7.5

Education level: Second cycle

Main Field of Study and progress level: Mathematics: Second cycle, has only first-cycle course/s as entry requirements
Mathematical Statistics: Second cycle, has only first-cycle course/s as entry requirements

Grading scale: Pass with distinction, Pass with merit, Pass, Pass with distinction, Pass, Fail

Responsible department: Department of Mathematics and Mathematical Statistics

Established by: Faculty Board of Science and Technology, 2015-06-25

Required Knowledge

Courses in Multivariable Calculus and Differential Equations and a basic course in Mathematical Statistics, minimum 6 ECTS. Proficiency in English equivalent to Swedish upper secondary course English A (IELTS (Academic) with a minimum overall score of 5.5 and no individual score below 5.0. TOEFL PBT (Paper-based Test) with a minimum total score of 530 and a minimum TWE score of 4. TOEFL iBT (Internet-based Test) with a minimum total score of 72 and a minimum score of 17 on the Writing Section). Where the language of instruction is Swedish, applicants must prove proficiency in Swedish to the level required for basic eligibility for higher studies.

Literature

Valid from: 2015 week 3

Glasserman Paul
Monte Carlo methods in financial engineering
New York : Springer : cop. 2004 : 596 s. :
ISBN: 0-387-00451-3 (alk. paper)
Mandatory
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