F11SS Stochastic Simulation

Dr Lehel Banjai

Course co-ordinator(s): Dr Lehel Banjai (Edinburgh).

Aims:

The aims of this module are:
• Develop understanding of continuous random variables and simulation
• Develop ideas of Monte-Carlo simulations and convergence
• Develop Brownian motion and properties
• Develop stochastic integrals and calculus
• Introduce SDEs examples such as Langevin equations, Geometric Brownian motion and Ornstein-Uhlenbeck
process.
• Introduce numerical methods for SDEs
• Introduce different notions of convergence for numerical methods
• Convergence of Euler--Maruyama

Detailed Information

Pre-requisite course(s): F11MT Modelling and Tools .

Location: Edinburgh.

Semester: 2.

SCQF Level: 11.

Credits: 15.