Financial Risk

Module code: MA7073

The module requires some preliminary knowledge of a programming language (e.g., C++ or MatLab).

Topics covered

  • Principles of Monte Carlo technique
  • Generators of pseudo-random numbers
  • Mean-square and weak methods for numerical simulation of stochastic differential equations
  • Application of weak methods to solving the Cauchy problem for linear parabolic partial differential equations
  • Applications to models from Financial Mathematics
  • Variance reduction techniques (control variates, importance sampling)

Learning

  • 33 hours of lectures
  • 9 hours of seminars

Assessment

  • Exam, three hours (100%)

Pre-Requisites

  • MA7071 - Elementary probability and statistics, real analysis and linear algebra, introductory financial mathematics

Co-Requisites

  • MA7072 - Financial Mathematics II
  • MA7011 - Computational Methods for Partial Differential Equations