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: TH teknisk betygsskala
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 Search the University Library catalogue
