Vrije Universiteit Amsterdam
Amsterdam, The Netherlands
Area of Study
Taught In English
Course Level Recommendations
ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.
Recommended U.S. Semester Credits3
Recommended U.S. Quarter Units4
Hours & Credits
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.
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.
Combined lectures and tutorials
TYPE OF ASSESSMENT
Final exam – Individual assessment
Individual assignment - Individual assessment
Analysis, basic probability theory, basic programming
Courses and course hours of instruction are subject to change.
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