This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is not available as an outside option. This course is available with permission to General Course students.
This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is not available as an outside option. This course is available with permission to General Course students.
This course is delivered through a combination of classes and lectures totalling a minimum of 30 hours across Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes and lectures delivered as online videos.
Students will be expected to produce 5 problem sets and 5 other pieces of coursework in the LT.
P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer; R.U. Seydel, Tools for Computational Finance, Springer; S.M. Ross, Simulation, Academic Press (5th edition).
Project (100%) in the ST. The project will be a computational project.