NQF credits: 30 at HEQSF level 9
Course convener: Associate Professor DR Taylor
Entrance requirements: Acceptance into MPhil in Mathematical Finance.
This course develops the basic computational skills required for pricing contingent claims using Monte Carlo Methods. This is accomplished through a combination of lectures and computer-based practical sessions in which candidates implement the techniques learned. The course will cover random number generation, stock price generation, Monte Carlo integration, variance reduction and Quasi-Monte Carlo integration.
DP Requirements: An average of at least 70% for practical session grades.
- Final examination 60%
- Assignments and class tests 40%.
Last updated : 13 Apr 2015