312.243 (19W) Selected Topics in Stochastic Processes (Simulation Methods), Exercises
Überblick
- Lehrende/r
- LV-Titel englisch Selected Topics in Stochastic Processes (Simulation Methods), Exercises
- LV-Art Übung (prüfungsimmanente LV )
- Semesterstunde/n 1.0
- ECTS-Anrechnungspunkte 2.0
- Anmeldungen 7 (25 max.)
- Organisationseinheit
- Unterrichtssprache Englisch
- LV-Beginn 24.10.2019
Zeit und Ort
LV-Beschreibung
Intendierte Lernergebnisse
The students shall be able to make use of stochastic simulation methods to solve problems in financial engineering.
Lehrmethodik inkl. Einsatz von eLearning-Tools
Coding exercises with consideration of the students' different background.
This class should be taken in combination with the respective lecture.
Inhalt/e
The topics will be adapted to the students' background.
Possible topics include:
Option pricing via the Black-Scholes PDE
Monte Carlo
Variance reduction methods
Simulation of Brownian paths
Simulation of jump processes
quasi-Monte Carlo
Numerics for SDEs
multilevel-Monte Carlo
Erwartete Vorkenntnisse
The class 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.
Literatur
- Paul Glasserman: Monte Carlo Methods in Financial Engineering, Springer, 2003
- Hansjörg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer: Introduction to Quantitative Methods for Financial Markets, Birkhäuser, 2013
- Gunther Leobacher, Friedrich Pillchishammer: Introduction to Quasi-Monte Carlo Integration and Applications, Springer, 2014
- Rüdiger Seydel: Tools for Computational Finance, Springer, 2017
Prüfungsinformationen
Prüfungsmethode/n
There will be programming exercises.
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
Prüfungsinhalt/e
Everything that is covered in the lecture and hence also in the exercise class.
If additional reading is required for the lecture, this will be clearly announced in the lecture.
Beurteilungskriterien/-maßstäbe
The mark depends only on the number of points the student achieves at the programming exercises.
Sign-out without grading is possible until October 31, 2019.
Beurteilungsschema
Note BenotungsschemaPosition im Curriculum
- Doktoratsprogramm Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(SKZ: ---, Version: 16W.1)
-
Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Pflichtfach)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
-
Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Pflichtfach)
- Bachelorstudium Technische Mathematik
(SKZ: 201, Version: 17W.1)
-
Fach: Angewandte Statistik
(Wahlfach)
-
9.7 Ausgewählte Kapitel der Statistik (
1.0h UE / 2.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS) Absolvierung im 5., 6. Semester empfohlen
-
9.7 Ausgewählte Kapitel der Statistik (
1.0h UE / 2.0 ECTS)
-
Fach: Angewandte Statistik
(Wahlfach)
- Bachelorstudium Technische Mathematik
(SKZ: 201, Version: 12W.2)
-
Fach: Angewandte Statistik
(Wahlfach)
-
Ausgewählte Kapitel der Statistik (
3.0h VU / 5.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
-
Ausgewählte Kapitel der Statistik (
3.0h VU / 5.0 ECTS)
-
Fach: Angewandte Statistik
(Wahlfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Applied Statistics
(Wahlfach)
-
5.8 Selected Topics in Stochastic Processes (
1.0h UE / 2.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
-
5.8 Selected Topics in Stochastic Processes (
1.0h UE / 2.0 ECTS)
-
Fach: Applied Statistics
(Wahlfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Applied Mathematics
(Wahlfach)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
-
Fach: Applied Mathematics
(Wahlfach)
- Masterstudium Technische Mathematik
(SKZ: 401, Version: 13W.1)
-
Fach: Angewandte Statistik
(Wahlfach)
-
Ausgewählte Kapitel der Stochastischen Prozesse (
3.0h VU / 5.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
-
Ausgewählte Kapitel der Stochastischen Prozesse (
3.0h VU / 5.0 ECTS)
-
Fach: Angewandte Statistik
(Wahlfach)
- Doktoratsstudium Doktoratsstudium der Technischen Wissenschaften
(SKZ: 786, Version: 12W.4)
-
Fach: Studienleistungen gem. § 3 Abs. 2a des Curriculums
(Pflichtfach)
-
Studienleistungen gem. § 3 Abs. 2a des Curriculums (
16.0h XX / 32.0 ECTS)
- 312.243 Selected Topics in Stochastic Processes (Simulation Methods), Exercises (1.0h UE / 2.0 ECTS)
-
Studienleistungen gem. § 3 Abs. 2a des Curriculums (
16.0h XX / 32.0 ECTS)
-
Fach: Studienleistungen gem. § 3 Abs. 2a des Curriculums
(Pflichtfach)