Financial Risk

Module code: MA7073

Module co-ordinator: Andrey Mudrov

Module Outline

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

Learning

  • 33 one-hour lectures
  • Nine one-hour 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