AØKK08375U Seminar: Monte Carlo Methods in Finance and Econometrics (F)

Volume 2025/2026
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

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 & insurance, especially in regards to pricing and risk management. 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.


There will be two days of lectures of around 3 hours per each day. A third day of also 3 hours is allocated for discussing possible subjects for the students paper and feedback for the students regarding their chosen topics.

Learning Outcome

After 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.
  • 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
BSc in Economics or similar.
• 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
Students receive individual guidance from the instructor.
Students prepare a draft assignment, which they present to the teacher and the other students. The students take turns acting as opponents during each other’s presentations. The feedback should especially focus on the written presentation in the draft assignment, with particular emphasis on the introduction.
Exact dates will be available in the seminar’s course room no later than 14 days before the start of the semester

• Kick-off meeting: Week 6 / 36. See exact date in Absalon.

• Additional meetings/introductory teaching/guidance: Optional. See Absalon.

• Deadline for submission of commitment paper/project description:
No later than February 28 / September 30.

• Deadline for uploading seminar paper draft in Absalon: No later than one week before the presentations. See exact date in Absalon.

• Presentations: In the period November 20 – December 11 for the autumn semester and May 1 – 23 for the spring semester.
See exact dates in Absalon.

• Common submission date for all seminars: December 20 at 10:00 for the autumn semester and June 1 at 10:00 for the spring semester.
  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • Total
  • 206
Collective
Peer feedback (Students give each other feedback)
Credit
7.5 ECTS
Type of assessment
Home assignment
Type of assessment details
Individual or in groups of up to 3.
A seminar paper of 15 standard pages for one person, 22.5 standard pages for 2 and 30 standard pages for 3 students.
See further exam information in the Masters Programme Curriculum.
Examination prerequisites

Attendance in all seminar activities as stated in the Master curriculum.

Reexam: Hand in and have approved a synopsis.

Aid
All aids allowed

Use of AI tools is permitted. You must explain how you have used the tools. When text is solely or mainly generated by an AI tool, the tool used must be quoted as a source.

Marking scale
7-point grading scale
Censorship form
External censorship
Exam period

The seminar paper must be uploaded in Digital Exam.

Common submission date for all seminars: June 1 at 10:00 for the spring semester.

For enrolled students more information about examination, rules, aids etc. is available at the intranet for  Master (UK) and  Master (DK ).

Re-exam

Individual seminar paper of 15 standard pages. See further exam information in the Masters Programme Curriculum.

Deadline and more information is available at  MSc in Economics - KUnet

More information about reexam etc is available at  Master(UK) and  Master(DK).

Criteria for exam assesment

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.