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| Udgave: |
Forår 2013 NAT |
| Point: |
7,5 |
| Blokstruktur: |
3. blok |
| Skemagruppe: |
C |
| Fagområde: |
andet |
Semester: |
Forår |
| Varighed: |
7 uger |
| Institutter: |
Institut for matematiske Fag |
| Uddannelsesdel: |
Kandidat niveau, Ph.D.-niveau |
| Kontaktpersoner: |
Jeffrey F. Collamore, tlf. 35 32 07 82, rum 04.3.08, email: collamore@math.ku.dk |
| Skema- oplysninger: |
 Vis skema for kurset
Samlet oversigt over tid og sted for alle kurser inden for Lektionsplan for Det Naturvidenskabelige Fakultet Forår 2013 NAT |
| Undervisnings- periode: |
4. februar - 14. april 2013 |
| Undervisnings- form: |
4 timers forelæsninger om ugen |
| Indhold: |
This will be an introductory course on Monte Carlo simulation techniques. Topics will include: basic principles and sampling methods; variance reduction; quasi-Monte Carlo; discretization methods for stochastic differential equations; applications. Monte Carlo
methods are of applied relevance because real-life problems in insurance, finance, and other applied areas are often too complicated to be solved using explicit analytical methods. When simulation is done naively, various problems can arise (e.g., the variance of the estimate may be large compared with the estimate). There are also methodological
issues (e.g., effective means for generating random samples). Throughout the course, examples will be drawn from both insurance mathematics and finance.
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| Målbeskrivelse: |
At the conclusion of the course, the students should have developed an understanding of:
1. The basic principles of stochastic simulation, including the generation of random variables and sample paths.
2. The basic principles of importance sampling, including its application in a variety of examples.
3. Other variance reduction techniques, including control variates, antithetic variables, and stratified sampling.
4. Descretization methods for the simulation of stochastic differential equations.
5. Quasi-Monte Carlo methods.
6. The application of these methods in a variety of problems in insurance and finance.
|
| Lærebøger: |
P. Glasserman, Monte Carlo Methods in Financial Engineering.
Springer-Verlag, Berlin, 2004 (og supplerende noter om Levy processer og importance sampling).
|
| Tilmelding: |
Kursus- og eksamenstilmelding og afmelding sker på
www.kunet.dk
Tilmelding skal ske i perioden den 15. november – 1. december 2012.
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| Faglige forudsætninger: |
Grundlæggende kendskab til sandsynlighedsregning og stokastiske processer.
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| Eksamensform: |
Afsluttende prøve, intern censur, bedømmelse med karakter
efter 7-trinsskalen givet for en 30-minutters mundtlig eksamen uden
forberedelse. Det er et krav for at deltage, at de obligatoriske
hjemmeopgaver er godkendt og gyldige.
Reeksamen: Som ordinær eksamen.
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| Eksamen: |
Mundtlig prøve d. 10. april 2013.
Reeksamen: Mundtlig prøve d. 26. juni 2013. |
| Kursus hjemmeside: |
 |
| Undervisnings- sprog: |
Engelsk
|
| Sidst redigeret: |
30/10-2012 |