Doel vak

Student will be introduced to the theory of stochastic processes that
are 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. We
will 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 tutorials

Toetsvorm

Final exam – Individual assessment
Individual assignment - Individual assessment

Vereiste voorkennis

Analysis, basic probability theory, basic programming

Literatuur

All material necessary will be distributed in class.

Doelgroep

Students from the bachelor "Econometrie en Operations Reseach" and
students from the bachelor "Economie en Bedrijfsecomie" with interest in
finance. The course is suitable to be taken in an exchange program

Aanbevolen voorkennis

Analysis, basic probability theory, basic programming