Algemene informatie
Vakcode | E_EOR3_FENG |
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Studiepunten | 6 EC |
Periode | P5 |
Vakniveau | 300 |
Onderwijstaal | Engels |
Faculteit | School of Business and Economics |
Vakcoördinator | prof. dr. B.F. Heidergott |
Examinator | prof. dr. B.F. Heidergott |
Docenten |
Praktische informatie
Voor dit vak moet je zelf intekenen.
Voor dit vak kun je last-minute intekenen.
Werkvormen | Hoorcollege, Werkgroep |
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Doelgroepen
Dit vak is ook toegankelijk als:
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.
Doel vak
Student will be introduced to the theory of stochastic processes thatare important in modeling financial products. Students learn how to
translate a problem from finance into an appropriate feasible stochastic
simulation model. Students learn how to apply optimization and
simulation techniques for evaluating options and performing sensitivity
analysis. Students learn the application of stochastic simulation in the
evaluation of Greeks.
Inhoud vak
This is an introductory course in stochastic simulation in finance. Wewill discuss many of the standard models used in finance such as, for
example, Geometric Brownian motion, the Hestenberg model, and the
Vasicek model. While keeping a focus on financial models and
applications, the course introduces many advanced simulation techniques
that are also useful for a broader range of applications.
Onderwijsvorm
Combined lectures and tutorialsToetsvorm
Final exam – Individual assessmentIndividual assignment - Individual assessment
Vereiste voorkennis
Analysis, basic probability theory, basic programmingLiteratuur
All material necessary will be distributed in class.Doelgroep
Students from the bachelor "Econometrie en Operations Reseach" andstudents from the bachelor "Economie en Bedrijfsecomie" with interest in
finance. The course is suitable to be taken in an exchange program