Undergraduate Course: Simulation (MATH10015)
Course Outline
| School |
School of Mathematics |
College |
College of Science and Engineering |
| Course type |
Standard |
Availability |
Available to all students |
| Credit level (Normal year taken) |
SCQF Level 10 (Year 4 Undergraduate) |
Credits |
10 |
| Home subject area |
Mathematics |
Other subject area |
Specialist Mathematics & Statistics (Honours) |
| Course website |
https://info.maths.ed.ac.uk/teaching.html
|
Taught in Gaelic? |
No |
| Course description |
Course for final year students in Honours programmes in Mathematics and/or Statistics.
Introduction to Monte Carlo methods and random number generation. Use of simulation for option pricing. Variance reduction methods. Stochastic programming, coherent risk measures and value at risk. |
Information for Visiting Students
| Pre-requisites |
None |
| Displayed in Visiting Students Prospectus? |
Yes |
Course Delivery Information
|
| Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
|
WebCT enabled: Yes |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| King's Buildings | Lecture | | 1-11 | | 15:00 - 17:00 | | | |
| First Class |
Week 1, Tuesday, 15:00 - 17:00, Zone: King's Buildings. Room 5215, JCMB |
| Exam Information |
| Exam Diet |
Paper Name |
Hours:Minutes |
Stationery Requirements |
Comments |
| Main Exam Diet S2 (April/May) | | 2:00 | 20 sides / 2 x graph paper. No YAF | c/w MATH11083 |
Summary of Intended Learning Outcomes
1. Understanding of Monte Carlo methods
2. Ability to simulate random numbers from standard distributions
3. Ability to numerically price some basic options
4. Understanding of variance-reduction techniques
5. Familiarity with stochastic programming
6. Understanding of coherent risk measures and Value at Risk (VaR)
|
Assessment Information
Examination only.
|
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords |
Sim |
Contacts
| Course organiser |
Dr Tom Mackay
Tel: (0131 6)50 5058
Email: T.Mackay@ed.ac.uk |
Course secretary |
Mrs Alison Fairgrieve
Tel: (0131 6)50 6427
Email: Alison.Fairgrieve@ed.ac.uk |
|
copyright 2011 The University of Edinburgh -
31 January 2011 7:59 am
|
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