Dr Luitgard Veraart COL 4.11

This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is not available as an outside option. This course is available with permission to General Course students.

Students must have completed Introduction to Pricing, Hedging and Optimization (ST213) and Programming in C++ (MA332).

Random number generation; the fundamentals of Monte Carlo (MC) simulation; variance reduction techniques for MC simulation and related issues; numerical solutions to stochastic differential equations by means of MC simulation and their implementation; finite-difference schemes for the solution of partial differential equations arising in finance.

22 hours of lectures, 5 hours of classes and 10 hours of computer workshops in the LT.

Students will be expected to produce 5 problem sets and 5 other pieces of coursework in the LT.

P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer;

R.U. Seydel, Tools for Computational Finance, Springer;

D.M. Capper, Introducing C++ for Scientists, Engineers and Mathematicians, Springer.

M. J. Capinski, T.  Zastawniak, Numerical Methods in Finance with C++, Cambridge University Press;

M. S. Joshi, C++ Design Patterns and Derivatives Pricing, Cambridge University Press;

S.M. Ross, Simulation, Academic Press (5th edition).

Exam (75%, duration: 2 hours).
Project (25%) in the ST.

The project will be a computational project.