Undergraduate Course: Simulation (MATH10015)
Course Outline
| 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 |
| SCQF Credits | 10 |
ECTS Credits | 5 |
| 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). |
| Course description |
Not entered
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Information for Visiting Students
| Pre-requisites | None |
| High Demand Course? |
Yes |
Course Delivery Information
| Not being delivered |
Learning Outcomes
On completion of this course, the student will be able to:
- Understand Monte Carlo methods and variance-reduction techniques.
- Simulate random numbers from standard distributions.
- Numerically price some basic options.
- Demonstrate familiarity with numerical schemes for simulating solutions of SDEs.
- Apply simple higher order schemes.
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Contacts
| Course organiser | Dr Lukasz Szpruch
Tel: (0131 6)50 5742
Email: L.Szpruch@ed.ac.uk |
Course secretary | Mrs Alison Fairgrieve
Tel: (0131 6)50 5045
Email: Alison.Fairgrieve@ed.ac.uk |
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