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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
  • site web du cours 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:
  • Final grade = grade of the exam + bonus.
  • 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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