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)
Pre-Requisites
- MA7071 - Elementary probability and statistics, real analysis and linear algebra, introductory financial mathematics