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## Simulation Methods in Finance and Insurance

• Teacher(s):   J.Ivanovs   S.Asmussen
• Course given in: English
• ECTS Credits: 3 credits
• Schedule: Spring Semester 2018-2019, 2.0h. course (weekly average)
•  sessions
•  course website
• Related programmes:
Master of Science (MSc) in Actuarial Science

Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science

Master of Science (MSc) in Finance, Orientation Corporate Finance

Master of Science (MSc) in Finance, Orientation Asset and Risk Management

### Objectives

During this course the students gain a solid knowledge on Monte Carlo simulation methods and their applications in actuarial science and mathematical finance.

### Contents

Main course content includes the following topics:

• Introduction to Monte Carlo Simulation
• Random Number Generation
• Variance Reduction Methods
• Simulation of Stochastic Processes
• Simulation of Risk Measures
• Rare Event Simulation
• Applications in Risk Management

Demonstrations of the methods are shown during the course and exercises sessions comprise conceptual implementation, algorithms and programming.

### References

Comprehensive set of lecture slides and notes are provided.

References (for information):

• Korn, Korn and Kroisandt, 2010, Monte Carlo Methods and Models in Finance and Insurance
• Glasserman, 2003, Monte Carlo Methods in Financial Engineering

Further references are provided during the course.

### Pre-requisites

• No hard prerequisites, basic knowledge in actuarial science (probability theory, stochastic processes) is expected
• General interest in simulation methods and programming in R language
• No further particular/formal requirements

### Evaluation

#### First attempt

Exam:
Written 2h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:
• Bonus - if applicable and depending on the size of the class (more information in the first lecture) - is derived from participation in class during the semester (in particular during exercises sessions) and may add up to 0.5 point on the grade of the exam (no penalty).

#### Retake

Exam:
Written 2h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:

Same conditions as regular session.

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