Latest news
Welcome to the course! The schedule for the course can be found in TimeEdit.
There are no assigned course representatives for the course this year but we discuss the evaluation with all participants due to the small number. This was decided in the lecture.
 25/1: Do not forget to read and understand the chapters in the book before the lecture.
 5/2: Added project deadline. Note that the discussion after the final presentation also may include an examination of the lecture content. This is necessary if you did not actively participate in the lectures and discussions (which we agreed on in the first lecture).
 5/2: In case that you are NOT attending the lectures, be aware that this is no MOOC course and that the homepage is not compensating an active lecture participation.
Teachers
Course coordinator: Annika Lang
Teaching assistants: Per Ljung
Course literature
Main literature:

[G] Emmanuel Gobet: MonteCarlo Methods and Stochastic Processes: From Linear to NonLinear, CRC, 2016
 [KP] Peter Kloeden, Eckhard Platen: Numerical Solutions of Stochastic Differential Equations, Springer, 1992
 [
EnglishSwedish mathematical dictionary
Program
Lectures
Day 
Sections  Contents 

24/1  1 
Introduction 

24/1  2 
([G] Chp. 13) 
Introduction to random number generation 
28/1 
[G] 4.1  4.3 
Brownian motion, Itö integral, stochastic differential
equations 
31/1 
[G] 4.2  4.3 
Itô integral, SDEs 
4/2  [G] 4.4  4.5 
FeynmanKac formulas 
7/2  [G] 5.1  5.2 
EulerMaruyama scheme, strong convergence 
11/2  [G] 5.3, (5.4) 
Weak convergence 
14/2  [G] 6.1  6.2 
Statistical errors, Monte Carlo method 
18/2  [G] 6.3  6.5 
Multilevel Monte Carlo 
21/2  [HRSW] 3 
Review on FEM for parabolic PDEs 
25/2  [HRSW] 4 
PDE in 1d 
28/2 
[HRSW] 8  Multidimensional PDEs 
4/3  [HRSW] 9, notes  CIR process, Heston model 
5/3  Project discussions and feedback 

22/3  Project presentations 
Recommended exercises
Day 
Exercises 

29/1 
Ex. 4.1  4.2 
5/2 
Ex. 4.3  4.4 
12/2 
Ex. 4.5, 5.1 
19/2 
Ex. 5.2, 5.3 
26/2 
Ex. 6.1, 6.2 
7/3  Projects 
Computer labs
Reference literature:
Learning MATLAB, Tobin A. Driscoll ISBN: 9780898716832 (The book is published by SIAM).
Course requirements
The learning goals of the course can be found in the course plan.
Project
Submission of the project report: 14/3  2019
Project presentation: 22/3  2019, 9.00  12.00, MVF32
The project report (length of the main part around 1015 pages, else contact the examiner) is written in latex. It is submitted as one pdf file no later than the deadline by sending an email to annika.lang@chalmers.se and annika.lang.chalmers@analys.urkund.se. The reports are then distributed to all participants of the course which read the reports before the presentation. All students are required to participate in all presentations of the projects and take part in an active discussion after the presentation. Presentation and discussion should not exceed 20 minutes in total (e.g., 15 + 5) and are not limited to the content of the project but to all lecture content.
Examination
The examination 2019 consists of a written project report and a
presentation of the report with discussion. For details on the project,
see "Project" above.
Examination procedures
In Chalmers Student Portal you can read about when exams are given and what rules apply on exams at Chalmers. In addition to that, there is a schedule when exams are given for courses at University of Gothenburg.
Before the exam, it is important that you sign up for the examination. If you study at Chalmers, you will do this by the Chalmers Student Portal, and if you study at University of Gothenburg, you sign up via GU's Student Portal, where you also can read about what rules apply to examination at University of Gothenburg.
At the exam, you should be able to show valid identification.
After the exam has been graded, you can see your results in Ladok by logging on to your Student portal.
At the annual (regular) examination:
When it is practical, a separate review is arranged. The date of the
review will be announced here on the course homepage. Anyone who can not
participate in the review may thereafter retrieve and review their exam
at the Mathematical
Sciences Student office. Check that you have the right grades and
score. Any complaints about the marking must be submitted in writing at
the office, where there is a form to fill out.
At reexamination:
Exams are reviewed and retrieved at the Mathematical
Sciences Student office. Check that you have the right grades and
score. Any complaints about the marking must be submitted in writing at
the office, where there is a form to fill out.
Old exams
This is the first time the course is given, therefore no old exams
exist.