Postgraduate Course: Simulation (MATH11083)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Not available to visiting students |
Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
15 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
http://student.maths.ed.ac.uk |
|
|
Course description |
This course aims to give a thorough grounding in the ideas and techniques of simulation and stochastic programming and to show how these can be used to simulate market behaviour and price derivatives using Monte Carlo methods.
|
Entry Requirements
Pre-requisites |
|
Co-requisites |
|
Prohibited Combinations |
|
Other requirements |
None
|
Additional Costs |
None |
Course Delivery Information
|
Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
|
WebCT enabled: No |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
No Classes have been defined for this Course |
First Class |
Week 1, Tuesday, 15:00 - 15:50, Zone: King's Buildings. JCMB, room 5215 |
Summary of Intended Learning Outcomes
- ability to describe how to generate sequences of pseudo random numbers and simulate random variables
- understanding of the main variance-reduction methods
- familiarity with simulating univariate and multivariate Brownian motion
- developing a critical awareness of the nature of random simulation and the types of errors associated with these approximations
- familiarity with solving asset and liability management problems by using stochastic programming
|
Assessment Information
Coursework - 40%
Examination - 60% |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
|
copyright 2010 The University of Edinburgh -
1 September 2010 6:19 am
|