ST303 Half Unit
Stochastic Simulation
This information is for the 2025/26 session.
Course Convenor
Dr Xiaolin Zhu
Availability
This course is available on the BSc in Actuarial Science, BSc in Actuarial Science (with a Placement Year), BSc in Data Science and BSc in Mathematics, Statistics and Business. This course is available with permission as an outside option to students on other programmes where regulations permit. This course is not available to General Course students.
Course capped at 70.
Requisites
Pre-requisites:
Before taking this course, students must have completed: (ST202 or ST206)
Co-requisites:
Students must complete ST302 either before taking this course or in the same year as this course.
Additional requisites:
Students must take ST302 at the same time to enrol in this course.
Course content
An introduction to using R for stochastic simulation as well as Monte Carlo methods of simulating random variables, complicated quantities involving several random variables and paths of stochastic processes. Applications will focus on examples from insurance and finance.
Teaching
20 hours of lectures and 9 hours of computer workshops in the Autumn Term.
This course has a reading week in Week 6 of Autumn Term.
Formative assessment
Weekly exercises usually involving computing.
Indicative reading
- Introducing Monte Carlo methods with R (main reference), by G. Robert and G. Casella.
Useful reading:
- Stochastic Simulation, Algorithms and Analysis by S. Asmussen.
- Monte Carlo Methods in Financial Engineering by P. Glasserman.
Assessment
Project (60%) in January
Project (40%) in December
This component of assessment includes an element of group work.
Randomised follow-up interviews to take place on this course in the form of 20-min discussion on the projects submitted. For group projects, interviews will be conducted with the entire group, while individual projects will involve one-to-one interviews. The aim of these interviews is to check against the unauthorised use of GenAI and that the work submitted is the student's own.
Key facts
Department: Statistics
Course Study Period: Autumn Term
Unit value: Half unit
FHEQ Level: Level 6
CEFR Level: Null
Total students 2024/25: 65
Average class size 2024/25: 22
Capped 2024/25: NoCourse selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Self-management
- Team working
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Specialist skills