FIM101
Computational Probability and Simulation
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Dr. Dirk Zeindler

Vorlesungen

Mo
Zeitraum:
08:00 - 09:45
Raum:
Y03G85 Plätze: 141
Fr
Zeitraum:
08:00 - 09:45
Raum:
Y03G91 Plätze: 90

Lecture progress

Friday, 16 October: We completed Section 2.8 and will start on Monday with Section 2.9

General information

Lectuer: Dirk Zeindler (Email: d.zeindler@lancaster.ac.uk).

Lecture material

You can find the lecture notes and slides in the download section. 

Coursework

To test your understanding of the course material, you will get weekly question sheets. These question sheets and further information can be found on this course page. Admission to the main examination requires 6 out of 12 exercise sheets to be accepted.

Usage of AI

You are allowed to use AI tools to support your learning. Guidance on appropriate and inappropriate uses of AI is provided in the lecture notes and on the cover sheet of the first exercise sheet.

Literature

The lecture notes contain everything you need for this course. However, some literature related to this course can be found below.

Introductory texts

-- David F. Anderson, Timo Seppäläinen, and Benedek Valko. Introduction to Probability. Cambridge University Press, 2017.

-- Richard Durrett. The Essentials of Probability. Duxbury Press, 1994.

-- Geoffrey Grimmett and D. J. A. Welsh. Probability: An Introduction. Oxford University Press, 1986 (2nd ed. 2014).

-- Sheldon Ross. A First Course in Probability. Macmillan, 1984.

More advanced references

-- Jean Jacod and Philip Protter. Probability Essentials. Springer, 2nd edition, 2003.

-- Patrick Billingsley. Probability and Measure. Wiley, 3rd edition, 1995.

For students interested in further applications to mathematical finance:

-- Séan Dineen; Probability theory in finance , volume 70 of Graduate Studies in Mathematics. American Mathematical Society, Providence, RI, second edition, 2013. A mathematical guide to the Black-Scholes formula. 

-- Amanda Turner and Dirk Zeindler. Stochastic Finance: An Introduction with Examples. Cambridge University Press, 2023