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
|
Taught in Gaelic? |
No |
| Course description |
Random number generation, basic Monte Carlo, variance reduction techniques, simulating Brownian paths,
Strong and weak approximations of solutions to SDEs,
Euler's approximations, Milstein's scheme,
Order of accuracy of the approximations,
Higher order schemes, accelerated convergence
Weak approximations of SDEs via numerical solutions of PDEs
Option price sensitivities (Greeks).
|
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 |
| 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 | Fixed date. Joint with H-W. c/w U01890. HW would like 4 May or 6 May 2010 |
Summary of Intended Learning Outcomes
1. Ability to describe how to simulate random variables
of a given law.
2. understanding of the main variance-reduction methods
3. familiarity with simulating paths of Brownian motion
4. developing a critical awareness of the nature of random simulation and the types of errors associated with these approximations
5. Familiarity with numerical schemes for simulating solutions of SDEs.
6. Ability to apply simple higher order schemes. |
Assessment Information
Coursework - 40%
Examination - 60% |
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_FM |
Contacts
| Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
|
copyright 2011 The University of Edinburgh -
13 January 2011 6:21 am
|
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