Undergraduate Course: Simulation (MATH10015)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 10 (Year 4 Undergraduate)
||Availability||Available to all students
|Summary||Course for final year students in Honours programmes in Mathematics and/or Statistics.
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).
Information for Visiting Students
|High Demand Course?
Course Delivery Information
|Academic year 2017/18, Available to all students (SV1)
|Learning and Teaching activities (Further Info)
Lecture Hours 22,
Seminar/Tutorial Hours 5,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Coursework 20%, Examination 80%
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Simulation (MATH10015) ||2:00|
| 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 numerical schemes for simulating solutions of SDEs.
6. Ability to apply simple higher order schemes.
|Course organiser||Dr Lukasz Szpruch
Tel: (0131 6)50 5742
|Course secretary||Mrs Alison Fairgrieve
Tel: (0131 6)50 5045