-1+1461 
Monte Carlo Methods in Finance

Non-bankers can learn to understand the mathematical models that have made the headlines so many times in recent years. A course for students of economics, business studies, mathematics, physics and computer science. In this course you will simulate the time evolution of prices of financial assets, use the Black-Scholes model to price European or Asian options and compute the Value-at-Risk of a portfolio. 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 from 20 January, 2014 until 16 April, 2014.

Lectures
    no lectures added
Prerequisites

ou will need between 5 and 8 hours of work per week during a total of 12 weeks to complete all the learning activities, including the homework.

Prior knowledge The course is geared to students not only in economics and finance, but also in mathematics, computer science, engineering, physics and the natural sciences.

No knowledge of finance is required.

Basic knowledge of Calculus (integration and differentiation, Taylor series), Linear Algebra (matrices, determinants, eigenvalues and eigenvectors) and Probability (random variables, probability density and cumulative distribution functions) at an introductory undergraduate level is strongly recommended.

Programming knowledge is recommended. We will be designing simulations that can be executed in either GNU Octave or in Matlab. The programs will be short, intuitive, fully documented and easy to follow. Yet they will be powerful tools under your control, and will allow you to explore, experiment and learn at your own initiative.

Syllabus

The course is structured in 9 chapters

Chapter 1: Introduction [2014/01/20 - 2014/01/29] Chapter 2: Understanding random numbers [2014/01/30 - 2014/02/05] Chapter 3: Generating random numbers [2014/02/06 - 2014/02/12] Chapter 4: Brownian motion [2014/02/13 - 2014/02/26] Chapter 5: Ordinary differential equations [2014/02/27 - 2014/03/05] Chapter 6: Stochastic differential equations [2014/03/06 - 2014/03/12] Chapter 7: Pricing of simple derivative products [2014/03/13 - 2014/03/26] Chapter 8: Pricing of more complex derivative products [2014/03/27 - 2014/04/02] Chapter 9: Modeling and quantifying financial risk [2014/04/03 - 2014/04/16]

Chapters are divided into units. Each unit consists of a video followed by a quiz. At the end of each chapter you will solve and turn in some homework exercises. In these exercises you will explore additional material on your own and then respond to questions in multiple choice format.

Some of the explanations in the videos and the exercises make reference to short programs that you can download and execute in your own computer. You are encouraged to experiment with these programs (modify the values of parameters, complete or rewrite the code to alter the model or to implement related functionality) and run your own simulations. The code provided can be executed in either GNU Octave or MATLAB. At the end of this course you will know how to answer the following questions:

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? What is the Black-Scholes model? What is geometric brownian motion and how can it be used to simulate the evolution of asset prices in financial markets? How are Monte Carlo methods used to determine the right price of a derivative product, such as a European call option? What is the theory of copulas and how can it be used to model general dependencies among financial assets? How is financial risk modeled, characterized and quantified?

Additional information

The programs used in the course can be executed either in GNU Octave (version 3.6.4) or in MATLAB.

GNU Octave is freely redistributable software and can be downloaded from http://www.gnu.org/software/octave/. The version that should be used in Windows is Octave3.6.4_gcc4.6.2, which can be retreived at the URL Octave 3.6.4 for Windows MinGW. Please follow the instructions in that webpage to install the software.

MATLAB is commercial software and you need to have a valid license to install it in your computer. As a result of support from MathWorks, students will be granted a downloadable license to MATLAB and the recommended toolboxes (Statistics and Optimization) for the duration of the course.

Where can I find information on the iversity platform?

Please have a look at the iversity FAQ if you have any general questions regarding the platform.

Teacher qualifications

Associate professor, Computer Science Department, Universidad Autónoma de Madrid

After studying Chemistry at the Universidad Autónoma de Madrid, he received a Ph.D. degree in Physical Chemistry from the Massachusetts Institute of Technology (MIT) in Cambridge and held postdoctoral positions at Stanford University, at the Université Libre de Bruxelles and at the Katholieke Universiteit Leuven. Other appointments at the International Computer Science Institute at the University of California, Berkeley, and the MIT followed.

He has worked on relaxation theory in condensed media, stochastic and thermodynamic theories of nonequilibrium systems, lattice-gas automata, and automatic induction from data. His current research interests include machine learning, quantitative and computational finance, time series analysis and information processing in the presence of noise.

Latest Update

none

Roster
1. Wilhelm
2. rajendra4343
3. found_myself
4. splendidefficacy
5. arkaran
6. this_is_pete
7. Lackamotive
8. krybop
9. ilr1
10. rafaelGeo
11. ericdefina
12. jillian
13. nodoubts
14. mindcrime
15. Julian
16. saltynaulty
17. mrkimberlysan
18. Mr.Normandy
19. Alex78
20. update_in_progress
21. cd370
22. blackcats31
23. Wirelesszombie
24. wittgenstien
25. runner2012
26. mngreco
27. ficar
28. ohaipear
29. Vindico
30. robertbn
31. makeitwain
32. myreprise
33. BasedMoth
34. tikiman6
35. CharlesJCoopper
36. abcdefghijason
37. sweetTDs
38. darkx2999
39. mistuhg
40. categoriesandsheaves
41. profitloss
42. longgoodknight
43. ktsenthil
44. olds0ul
45. mad5675
46. mejjem
47. peacefulintimidation
48. darchcruise
49. rs332602
50. mserzans
51. Manish.rana.023
52. LAR1979
53. abc123def
54. rwn_atc
55. Dougydoug
56. Yenniesaurus
57. allforgb
58. STFUandLove
59. whitesmash
60. bobbibee
61. darpa-
62. victoremnm
63. leonbasin
64. eipione
65. tricitiesg6
66. jlarez
67. zaypax
68. thecuriousguy21
69. NicholasMerten98
70. keangcheang
71. bobzmccormick
72. leafs213
73. fullofcrunch
74. freedumb123
75. eheinkel
76. mobius_d
77. christina7753
78. NeeBo
79. utkarsh.bhatt12
80. bobdole
81. brentshermana
82. oaktownbaby
83. DamnyouMongarians
84. bush43
85. ModernWolf
86. tpkalman
87. jjjvanloon
88. bpalkmim
89. Derpcityblue
90. ForgotAccountAgain
91. 8hellio
92. aviator1
93. mjchangi
94. otac0n
95. 70five
96. needlearn
97. Bloodrazor
98. paradoxpelcan
99. vpan17
100. L2BSmart
101. hoedownmcgee
102. brucemilus
103. nkhanlegend
104. Bennymoonbase
105. pinguhash
106. JCASHDAKID
107. papagio
108. VaderFail
109. tweakness
110. uredditfinanceplease
111. Peroviendo
112. prateekchandrajha
113. mtilles69
114. Augustine
115. ManginosRevenge
116. dergster
117. Richo1337
118. ljghome
119. yellow_buzzard
120. dougydougdougy
121. aortizmena
122. jp8956
123. otooligan
124. TheTrotters
125. erkie830
126. schnayder1
127. Toch
128. giggz
129. wwalid2050
130. nawalster
131. Labrookie
132. gallabytes
133. redbrigadier
134. bbmacarthur
135. crichm03
136. parthmistry
137. shamwow19
138. RicoSpartan
139. eridamus
140. gregs
141. alffoss
142. pirehappy
143. ningandma
144. bklimisch182
145. buguoruci
146. Sandr0s
147. guneyd
148. sirignano
149. jcog69
150. bloodycaffeine
151. mkmayfield
152. pookeye
153. TigersGoRoar
154. sjwodonoghue
155. da.amaya483
156. ActuaryImIrish
157. benshats
158. borsaric
159. imt2012003
160. quitesmoothly
161. thelotusknyte
162. weingarten
163. ureddituser2
164. Atomic
165. pendragon03
166. ugareth
167. kingofosraigi
168. Chaosye
169. ids
170. zainussami
171. coffeeblack198
172. antone
173. megadarkfriend
174. brumbruh
175. iseybold
176. shitzfez
177. Yaqzan
178. tmascia
179. Sblood
180. Theguybehindthescreen
181. haraf_ijhal
182. devokalani
183. 10saumiljoshi24
184. labyrinth5
185. sagyourjeans
186. lazypakman
187. fauxhemian5
188. burtgervis
189. E_Anonymous
190. NoStories
191. namesare4tombstones
192. kriszaa_007
193. asingh21
194. piquiblanco
195. supermamajama
196. sassy_banana
197. acanete
198. mara0022
199. Jpmulongo
200. bcabcae
201. judyhuang
202. djk4800
203. ItsQuiteCool
204. steenarie
205. pandaabearr
206. greenrocket
207. montekaka
208. theaccountant
209. xcathix
210. armonbt31
211. kdlynch12
212. fezspinkguitar
213. cemredditt
214. gunnerswin
215. ropfa
216. captcompile
217. Higs
218. aboutdabusiness
219. 20sat92
220. Mwurster89
221. ImThatDudeAJB
222. tminton
223. Hypatie
224. kbanks4130
225. fluid_motions
226. Cherissime
227. sensharma
228. bendaizer
229. SilverPipes415
230. iamalbus
231. command321
232. Kiwi_Bedouin
233. stark102
234. emmablomvliet
235. Gordongekko777
236. dungeonmasterbater
237. JakeJ123
238. tetteyyamak
239. Sceef_Lionheart
240. 36ByDesign
241. takumf
242. arc12345
243. juicehead
244. cetahavis
245. pablito001
246. Cody72
247. mrVaNasty
248. leaoc
249. lobo.caique
250. mpykan
251. pnblwzrd
252. corpsss
253. aBRRICK
254. nivrito99
255. nivrito99
256. ark15
257. bastianse
258. mihakebe
259. juggler0
260. nomoremountains
261. msoup
262. woundedpolarbear
263. mouellette
264. Joecorgi
265. cosmic_athlete
266. kgwscarffe
267. jikki-san
268. WarGy_Luremus
269. rusty_vin
270. child_of_the_north
271. luoslamora
272. bobbi.bee
273. filippone
274. osam
275. nitinrcool
276. Verbery
277. rodinia
278. andrewlei323
279. meowgalabar
280. Chengh
281. onex0907
282. juancho7111
283. Illcharm
284. saichandmvln
285. mhared
286. Vaik
287. thebigfatdog
288. seanknight
289. monica_a
290. Daysdisappear
291. vinarosta
292. pitageek
293. hruturx
294. thedanielchacko
295. L00k1ng1n
296. jacarvalho1
297. martyg
298. maylene
299. medattes
300. __hsams__
301. dupeofadupe
302. tom-demijohn
303. nikkozilla
304. ashutoshkhedkar
305. avi6687
306. TooManySounds
307. jayver
308. MorsMiles
309. hueylewis0
310. lokesh_ureddit
311. smartalleck2
312. joppy11
313. alexvatui
314. hazelwitching
315. dhirenshah3
316. soueuls
317. sevenstarsofstef
318. bobbiburrows2
319. CampCarthage
320. osheo
321. victorandrei
322. sakura_fantasix
323. semajnosnhoj
324. d.pimov
325. nonsonosvizzero
326. COMIDA__
327. skw1990
328. Peetyboy
329. HaroldJIncandenza
330. badmondom
331. glebavich
332. willtoshio
333. sjnh
334. infinit3knowledg3
335. sdot35
336. AnaMaalisha
337. mattshepherd
338. integratedc
339. nodari
340. RAR070
341. marktimmerman
342. jraymay
343. daveynottjaden
344. causa77
345. caliooppub
346. pseudonymous0
347. amannedelk
348. ProjuktaG
349. Farinyu
350. muhammadraza
351. jeremydeanjohnson
352. sahasapata
353. Pulsiro
354. jay.saxena
355. mangeshjoshi819
356. nitsud
357. IamAlfie
358. MikeyyZ
359. ejemelihenry
360. bardhajredini
361. zvanwink
362. Alicia
363. SAMPAI
364. harsh2803
365. tha.jokr
366. khaind
367. dstevens5833
368. mynoro
369. Sigma1968
370. tiphae
371. cillajuliane
372. zorluhan
373. oreoshakeman
374. yeam93
375. terryisnice
376. Gundas3073
377. greenredidunno
378. metvtron
379. abhishek11191
380. Hanaxbanana
381. southernm
382. das2121
383. neudimol
384. nukeduke
385. itsboin
386. SmileyOaks
387. jhal217
388. corinaioana
389. shingaling__
390. Buthaina
391. Diego1995
392. janart
393. RK9fury
394. ihsan_alkufe
395. superwoman_xo
396. bsisman
397. johnqq
398. nuaaliux
399. amrsh
400. Flip101
401. Chokolope
402. AeonStrikeMD
403. tarisilalahi
404. cwenzinger
405. JerryKitich
406. KXu2017
407. pauladkins
408. nickwu78
409. dtlawhon
410. ravirala
411. nhok_conan
412. up2hear
413. bodmon
414. wields
415. timtamtucker
416. drunkenpupil
417. brandon_ball_z
418. ineedmathhelp
419. pm043001
420. vimal.p
421. jamiefaidley
422. neoezekiel
423. Jimthor
424. Jon-Osterman
425. pandoobus
426. mirrorman867
427. dnenov
428. amalak
429. zephyrean
430. s0fist
431. indierealm
432. punslayer2
433. Cvillematic
434. kreigos
435. the_mfk
436. jsiu1248
437. ingk
438. NathCarr
439. mvresh
440. pachin3
441. p3t3r.tnie
442. comandante72
443. daniellenatalya
444. martin.systrading.com
445. bsukenyan
446. mmathew
447. jaeboston
448. Tain33
449. Barbara88
450. dcn214
451. R3vis1on
452. Athar
453. stockinvestor
454. thegiantd
455. zasayed
456. forbiddenkangdom
457. westsidestory89
458. futbal333
459. theguywithacomputer
460. ro0ibos
461. GosiaSz.
462. sp_solis
463. pfrcks
464. prasanna_samuel
465. acmmoore
466. imaginarywitches
467. saurabhzsingh
468. asilentsound
469. michaelqiu94
470. btownbodyb
471. kmmadan7
472. aarshad
473. OfeliaBC
474. checkthisout444
475. JonSnowStark
476. marcalm
477. vmuralid
478. WhiteSpider
479. kaydea
480. rodrigottc
481. Veritas177
482. ceater259
483. ksimp126
484. everlin
485. dodgees
486. CompactTango
487. R.W.G
488. Sibindzi.shongwe
489. Cjmclean17
490. joyofthelannisters
491. Lakshyana
492. AIMBoss
493. whittaker123
494. luigi6889
495. mbobilev
496. gvsilva
497. 4tennis
498. Grghanna
499. caitread
500. _RaZeR_
501. iamalurker
502. kodumuru_niranjan
503. amandaskov
504. mik55
505. geoful
506. EJAZ123
507. agc0042
508. 5960312
509. NameSake630
510. Kaynnadi
511. Stanikol
512. qexx
513. yudag1
514. mukeshmlb92
515. chanstri