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Teaching GuideTerm Faculty of Computer Science |
| Mestrado Universitario en Matemática Industrial (2013) |
 Subjects |
| Stochastic numerical methods |
| Sources of information |
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| Identifying Data | 2019/20 | |||||||||||||
| Subject | Stochastic numerical methods | Code | 614855226 | |||||||||||
| Study programme |
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| Descriptors | Cycle | Period | Year | Type | Credits | |||||||||
| Official Master's Degree | 1st four-month period |
First | Optional | 6 | ||||||||||
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| Basic |
P. Glasserman (2004). Monte Carlo methods in financial engineering. Springer
P. Kloeden, E. Platen (1992). Numerical solution of stochastic differential equations. Springer
T. Mikosh (1998). Elementary stochastic calculus with finance in view. World Scientific
B. Oksendal (1998). Stochastic differential equations. An introduction with applications. Universitext, Springer |
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| Complementary | |
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