Seminar Summer Term 2017

Stochastic Simulation with Applications in Finance

 

Instructor:
Robert StelzerDirk Brandes
Type:
Master (all mathematical programs including Finance), attendance possible also for Bachelor students

Registration:

To register for the seminar, please write an email to Dirk Brandes until 28th February 2017. 

Please give your name, matriculation number, and your courses of studies and subjects you have taken in the area of Financial Mathematics, Probability Theory or Stochastic Processes. 

The number of participants is limited to 15 students.

Time and Venue:

Monday, 16:00 - 18:00, He18 - 220. 

First Talk: Monday, 24th of April 2017.

First Meeting:

Friday, 3rd March 2017, 15:00 - 16:00, He22 - 1.42.

Prerequisites:

Master students: Measure Theory, Elementary Probability and Statistics, Stochastik I

Master in Finance: additionally Financial Mathematics I and auxiliary Financial Mathematics II

Contents:

The seminar can cover the following topics:
  • Generating Random Objects
  • Output Analysis
  • Steady State Simulation
  • Variance-Reduction Methods
  • Rare-Event Simulation
  • Derivative Estimation
  • Stochastic Optimization
  • Stochastic Differential Equations
  • Gaussian Processes
  • Lévy Processes
  • Markov Chain Monte Carlo Methods

Literature:

The seminar is based on
  • S. Asmussen, P. W. Glynn, Stochastic Simulation, Springer, 2007.
  • C. Graham, D. Talay, Stochastic Simulation and Monte Carlo Methods, Springer, 2013.

Material:

Rules

Schedule