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 |
http://student.maths.ed.ac.uk |
|
|
| 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. |
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 |
| No Classes have been defined for this Course |
| First Class |
First class information not currently available |
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.
|
| Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
| Not entered |
Contacts
| Course organiser |
Dr Liam O'Carroll
Tel: (0131 6)50 5070
Email: L.O'Carroll@ed.ac.uk |
Course secretary |
Mrs Alison Fairgrieve
Tel: (0131 6)50 6427
Email: Alison.Fairgrieve@ed.ac.uk |
|
copyright 2010 The University of Edinburgh -
1 September 2010 6:18 am
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