Seminar: Monte Carlo Methods in Econometrics and Finance (F)

Course content

The purpose of the exercise is to give the student and overview in the use of simulation based methods (Monte Carlo methods) used in finance, especially in regards to the pricing and risk management of assets. There will be a focus on understanding the intuition for the methods and applying them in a programming language of the students choice.

The student will write a paper on a subject of their choice which in some detail covers the relevant theory, implements them in a computer program and analyses the results.

A total of 3 days of teaching of around 2 hours per day will be held introducing the subject.

Education

MSc programme in Economics

The seminar is part of the Financial line at the MSc programme in Economics,   symbolized by ‘F’.

The seminar is primarily for students at the MSc of Economics

 

Seminaret er den engelske udgave af seminaret "Monte Carlo metoder i økonometri og finansiering (F)". Grundet pensumoverlap er det derfor ikke tilladt at deltage, hvis man har deltaget i den danske udgave (kursusnr. AØKK08374U).

Learning outcome

IAfter completing the seminar the student is expected to be able to fulfill the learning outcome specified in the Master curriculum and to be able to:

  • read research papers and books relating to simulation based methods.
     
  • implement simulation based methods in a computer program and evaluate the results.

At the seminar the student is trained independently to
- identify and clarify a problem,
- seek and select relevant literatur,
- write a academic paper,
- present and discuss own paper with the other students at the seminar.

The aim of the presentations is, that the student uses the presentation as an opportunity to practice oral skills and to receive feedback. The presentations is not a part of the exam and will not be assessed.

Mandatory activities in the seminar:
- Kick-off meeting
- Finding literatur and defining the project
- Writing process of the seminar paper
- Presentation of own project and paper
- Giving constructive feedback to another student´s paper
- Actively participating in discussions at the presentations and other meetings.

There is no weekly teaching/lecturing and the student cannot expect guidance from the teacher. If the teacher gives a few introduction lectures or gives the opportunity for guidance, this as well as other expectations are clarified at the kickoff meeting.

Process:
It is strongly recommended that you think about and search for a topic before the semester begins, as there is only a few weeks from the kick-off meeting to the submission of the project description/ agreement paper.

The seminar project paper must be uploaded in Absalon before the presentations, as the opponents and the other seminar participants have to read and comment on the paper. It is important that you upload a paper that is so finalized as possible due to the fact that the value of feedback and comments at the presentation is strongly associated with the skill level of the seminar paper.

After the presentations, you can with a few corrections improve the seminar paper by including the feedback and comments emerged during the presentations. It is NOT intended that you rewrite or begin the writing of the full project AFTER the presentation has taken place.

  • Paul Glasserman (2003), "Monte Carlo Methods in Financial Engineering", Springer, ISBN 978-0-387-21617-1
     
  • Søren Asmussen & Peter W. Glynn (2007), " Stochastic Simulation: Algorithms and Analysis", Springer, ISBN 978-0-387-69033-9

• Knowledge of basic probability theory and statistics including asymptotic results such as the law of large numbers and the central limit theorem

• Knowledge of basic continuous time finance, ie. Black-Scholes model

• Basic programming skills in a suitable language

BSc in Economics or similar

Schedule of the seminar Fall 2021:

- Kick-off meeting:
8 September, 15.15-18.00

- Extra meetings / introductory teaching / guidance:
15 September, 15.15-18.00
15 September, 17.15-18.00

- Deadline for submission of commitment paper / project description:
1 october

- Deadline for uploading a seminar assignment paper in Absalon:
14 November.

- Presentations:
21 November

- Exam date:
1 December at 10.00 (am) - latest uploading of Seminar paper to the Digital Exam portal for assessment.


All information regarding the seminar is communicated through Absalon including venue. So it is very important that you by yourself logon to Absalon and read the information already when you are registered at the seminar.

Feedback by final exam (In addition to the grade)
Peer feedback (Students give each other feedback)

Peer feedback and comments from the teacher is given after the presentations, the assignment is graded.

ECTS
7,5 ECTS
Type of assessment
Written examination
A seminar paper in English that meets the formal requirements for written papers stated in the curriculum of the Master programme and at KUNet for seminars.
____
Aid
All aids allowed

for the seminar paper.

The teacher defines the aids that must be used for the presentations.

__

Marking scale
7-point grading scale
Censorship form
External censorship
__
Criteria for exam assessment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the Curriculum of the Master programme.

 

To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material.

  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • English
  • 206