312.242 (19W) Selected Topics in Stochastic Processes (Simulation Methods)
Overview
- Lecturer
- Course title german Selected Topics in Stochastic Processes (Simulation Methods)
- Type Lecture
- Hours per Week 2.0
- ECTS credits 3.0
- Registrations 8
- Organisational unit
- Language of instruction English
- Course begins on 03.10.2019
- eLearning Go to Moodle course
Time and place
Course Information
Intended learning outcomes
The students shall be able to make use of stochastic simulation methods to solve problems in financial engineering.
Teaching methodology including the use of eLearning tools
Lecture with practical examples
Combination of slides and blackboard
This lecture should be taken in combination with the respective exercise class.
Course content
The topics will be adapted to the students' background.
Possible topics include:
Option pricing via the Black-Scholes PDE
Monte Carlo
Variance reduction methods
Construction of Brownian paths
quasi-Monte Carlo
Numerics for SDEs
multilevel-Monte Carlo
Prior knowledge expected
The lecture is formatted to be open to bachelor and master students in Mathematics and Economics students. Also students within the teacher education programme are welcome. The course will be adapted to the students' knowledge. Basic knowledge in Stochastics is however required.
Literature
- Paul Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2003
- Gunther Leobacher, Friedrich Pillchishammer: Introduction to Quasi-Monte Carlo Integration and Applications, Springer, 2014
- Rüdiger Seydel: Tools for Computational Finance, Springer, 2017
Examination information
Examination methodology
There will be a final exam, presumably at the end of January.
The point scheme is as follows:
100-87 p. -> 1
86-75 p. -> 2
74-62 p. -> 3
61-50 p. -> 4
49-0 p. -> 5
Examination topic(s)
Everything that is covered in the lecture.
If additional reading is required for the lecture, this will be clearly announced in the lecture.
Assessment criteria / Standards of assessment for examinations
The mark depends only on the number of points the student achieves at the final exam.
Grading scheme
Grade / Grade grading schemePosition in the curriculum
- Thematic Doctoral Programme Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(SKZ: ---, Version: 16W.1)
-
Subject: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Compulsory subject)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
-
Subject: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Compulsory subject)
- Bachelorstudium Technische Mathematik
(SKZ: 201, Version: 17W.1)
-
Subject: Angewandte Statistik
(Compulsory elective)
-
9.7 Ausgewählte Kapitel der Statistik (
2.0h VO / 3.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS) Absolvierung im 5., 6. Semester empfohlen
-
9.7 Ausgewählte Kapitel der Statistik (
2.0h VO / 3.0 ECTS)
-
Subject: Angewandte Statistik
(Compulsory elective)
- Bachelor's degree programme Technical Mathematics
(SKZ: 201, Version: 12W.2)
-
Subject: Angewandte Statistik
(Compulsory elective)
-
Ausgewählte Kapitel der Statistik (
3.0h VU / 5.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS)
-
Ausgewählte Kapitel der Statistik (
3.0h VU / 5.0 ECTS)
-
Subject: Angewandte Statistik
(Compulsory elective)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Subject: Applied Statistics
(Compulsory elective)
-
5.8 Selected Topics in Stochastic Processes (
2.0h VO / 3.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS)
-
5.8 Selected Topics in Stochastic Processes (
2.0h VO / 3.0 ECTS)
-
Subject: Applied Statistics
(Compulsory elective)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Subject: Applied Mathematics
(Compulsory elective)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
-
Subject: Applied Mathematics
(Compulsory elective)
- Master's degree programme Technical Mathematics
(SKZ: 401, Version: 13W.1)
-
Subject: Angewandte Statistik
(Compulsory elective)
-
Ausgewählte Kapitel der Stochastischen Prozesse (
3.0h VU / 5.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS)
-
Ausgewählte Kapitel der Stochastischen Prozesse (
3.0h VU / 5.0 ECTS)
-
Subject: Angewandte Statistik
(Compulsory elective)
- Doctoral programme Doctoral programme in Technical Sciences
(SKZ: 786, Version: 12W.4)
-
Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums
(Compulsory subject)
-
Studienleistungen gem. § 3 Abs. 2a des Curriculums (
16.0h XX / 32.0 ECTS)
- 312.242 Selected Topics in Stochastic Processes (Simulation Methods) (2.0h VO / 3.0 ECTS)
-
Studienleistungen gem. § 3 Abs. 2a des Curriculums (
16.0h XX / 32.0 ECTS)
-
Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums
(Compulsory subject)