MA323      Half Unit
Computational Methods in Financial Mathematics

This information is for the 2025/26 session.

Course Convenor

Dr Ofelia Bonesini

Availability

This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is available on the Erasmus Reciprocal Programme of Study and Exchange Programme for Students from University of California, Berkeley. This course is not available as an outside option to students on other programmes. This course is available with permission to General Course students.

Requisites

Pre-requisites:

Students must have completed ST213 before taking this course.

Additional requisites:

Students are also expected to have basic Python programming skills.

Course content

Random number generation; the fundamentals of Monte Carlo (MC) simulation and applications in financial mathematics; variance reduction techniques for MC simulation and related issues; stochastic differential equations and their numerical solutions by means of MC simulation and their implementation.

Teaching

20 hours of lectures and 15 hours of classes in the Winter Term.

Formative assessment

Problem sets

Exercises and other pieces of coursework are assigned weekly and form the basis of the seminars.

Indicative reading

P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer;

R.U. Seydel, Tools for Computational Finance, Springer;

S.M. Ross, Simulation, Academic Press (5th edition).

Assessment

Exam (75%), duration: 120 Minutes in the Spring exam period

Project (25%)


Key facts

Department: Mathematics

Course Study Period: Winter Term

Unit value: Half unit

FHEQ Level: Level 6

CEFR Level: Null

Total students 2024/25: 38

Average class size 2024/25: 38

Capped 2024/25: No
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Personal development skills

  • Self-management
  • Problem solving
  • Application of information skills
  • Communication
  • Application of numeracy skills
  • Specialist skills