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NQF credits: 30 at HEQSF level 9

Course convener: Associate Professor DR Taylor

Entrance requirements: Acceptance into MPhil in Mathematical Finance.

Course outline:

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

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