Monte Carlo Methods in Finance

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Course Details

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FREE

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Course Provider

Iversity online courses
Iversity's vision is to share world-class knowledge. Based out of Berlin, iversity works directly with professors instead of through universities to provide its high-quality courses in multiple different languages. Contemporary Architecture taught by internationally known professor Dr. Ivan Shumkov and Dark Matter in Galaxies: The Last Mystery led by world-famous astrophysicist Paolo Salucci are only two examples of the kind of top-tier courses you can take at Iversity. Google, Shell Compa...
Iversity's vision is to share world-class knowledge. Based out of Berlin, iversity works directly with professors instead of through universities to provide its high-quality courses in multiple different languages. Contemporary Architecture taught by internationally known professor Dr. Ivan Shumkov and Dark Matter in Galaxies: The Last Mystery led by world-famous astrophysicist Paolo Salucci are only two examples of the kind of top-tier courses you can take at Iversity. Google, Shell Company and Deutsche Bank - three of the most innovative and successful companies in the world - declared iversity a Lighthouse Project in Higher Education, a prestigious and highly sought after international honor. PC Magazine named Iversity as one of the best websites of 2013. Iversity's broad range of courses led by the best professors in the world gives you access to previously unattainable knowledge.

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Humanities
Sciences & Technology
4 reviews

Course Description

In this course you will simulate prices of financial assets, use the Black- Scholes model to price European or Asian options, compute the Value-at-Risk of a bank and model financial time series with GARCH processes. The approach is hands-on with a strong emphasis on practical simulations that you will program, run and explore in your own computer. "Monte Carlo methods in finance" will be offered on Iversity in the Fall semester 2013. The material is structured in 12 one-week units Unit 1: Introduction and overview of the course Unit 2: Generating random numbers Unit 3: Generating simulations Unit 4: The Black-Scholes model Unit 5: Pricing of simple derivative products Unit 6: Variance reduction techniques I Unit 7: Pricing of exotic options Unit 8: Variance reduction techniques II Unit 9: Modeling of dependencies with copulas Unit 10: Modeling and quantifying financial risk Unit 11: Time series analysis and modeling Unit 12: Advanced... In this course you will simulate prices of financial assets, use the Black- Scholes model to price European or Asian options, compute the Value-at-Risk of a bank and model financial time series with GARCH processes. The approach is hands-on with a strong emphasis on practical simulations that you will program, run and explore in your own computer. "Monte Carlo methods in finance" will be offered on Iversity in the Fall semester 2013. The material is structured in 12 one-week units Unit 1: Introduction and overview of the course Unit 2: Generating random numbers Unit 3: Generating simulations Unit 4: The Black-Scholes model Unit 5: Pricing of simple derivative products Unit 6: Variance reduction techniques I Unit 7: Pricing of exotic options Unit 8: Variance reduction techniques II Unit 9: Modeling of dependencies with copulas Unit 10: Modeling and quantifying financial risk Unit 11: Time series analysis and modeling Unit 12: Advanced topics for further exploration There will be two versions of the course: [ENG] English [ESP] bilingual Spanish - English The videos are the same as in the English version and will be subtitled in Spanish. Additional documentation, exercises and quizzes will be in Spanish. There will be interaction among students and with the course tutors both in Spanish and in English. Learning objectives 1\. Why are random numbers needed in quantitative finance? And, if they are random, how can they be used to give precise, accurate answers to quantitative financial problems? 2\. What is the Black-Scholes model and how can it be used to simulate the evolution of asset prices in financial markets? 3\. How are Monte Carlo methods used to determine the right price of a derivative product, such as a European call? 4\. What is the theory of copulas and how can it be used to model general dependencies among financial assets? 5\. How is financial risk modeled, characterized and quantified?
Reviews 9/10 stars
1 Review for Monte Carlo Methods in Finance

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leonard mangini profile image
leonard mangini profile image
10/10 starsCompleted
  • 39 reviews
  • 37 completed
4 years, 11 months ago
Excellent course- very clear explanations from a talented and engaging professor who presented material that can be difficult- jump diffusion processes, brownian bridges, Octave/Matlab programming- in a very intuitive way.
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