312.242 (19W) Selected Topics in Stochastic Processes (Simulation Methods)

Wintersemester 2019/20

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First course session
03.10.2019 08:00 - 10:00 HS 11 On Campus
... no further dates known

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

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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

  1. Paul Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2003
  2. Gunther Leobacher, Friedrich Pillchishammer: Introduction to Quasi-Monte Carlo Integration and Applications, Springer, 2014
  3. Rüdiger Seydel: Tools for Computational Finance, Springer, 2017


Examination information

Im Fall von online durchgeführten Prüfungen sind die Standards zu beachten, die die technischen Geräte der Studierenden erfüllen müssen, um an diesen Prüfungen teilnehmen zu können.

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 scheme

Position 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)
  • 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
  • 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)
  • 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)
  • 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)
  • 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)
  • 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)

Equivalent courses for counting the examination attempts

This course is not assigned to a sequence of equivalent courses