Advanced Simulation for Finance, Economics and Business

Vrije Universiteit Amsterdam

Course Description

  • Course Name

    Advanced Simulation for Finance, Economics and Business

  • Host University

    Vrije Universiteit Amsterdam

  • Location

    Amsterdam, The Netherlands

  • Area of Study

    Economics, Finance

  • Language Level

    Taught In English

  • Prerequisites

    Numerical Methods, Analysis, Basic Probability Theory, Basic Programming

    Hours & Credits

  • ECTS Credits

  • Recommended U.S. Semester Credits
  • Recommended U.S. Quarter Units
  • Overview

    Students learn how to model real-life problems by discrete-event models. After successful completion of this course, students will be able to conduct Monte Carlo simulation based analysis of a problem and provide an output analysis. Students learn how to apply simulation in
    optimization and learning, and to report on their findings.

    This course gives a treatment of the important aspects of advanced Monte Carlo simulation and its applications in areas such as inventory control, project planning, reliability, risk analysis, multi-agent models, and financial models. The emphasis is on modeling the stochastic dynamic system as a discrete event system, and analyzing and improving its performance by means of discrete event simulation. The topics covered include generating random numbers, variance reduction methods, Markov chain Monte Carlo methods, selecting input distributions, and model validation. The course also teaches the statistical output analysis and the use of simulation in optimization and learning.

    Combined lectures and tutorials

    Final exam – Individual assessment
    Individual assignment - Individual assessment


Course Disclaimer

Courses and course hours of instruction are subject to change.

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