Advanced Simulation for Finance, Economics and Business

URL study guide

https://studiegids.vu.nl/en/courses/2025-2026/E_EOR3_ASFEB

Course Objective

Students will learn to analyze real-world problems using computer simulation models. Upon successful completion of the course, they will be able to perform Monte Carlo and Discrete Event Simulations, conduct output analysis, and apply simulation techniques in optimization contexts. They will also develop the skills to effectively report their findings.

Course Content

This course will cover the following topics:Monte Carlo Simulation and its application in inventory control and financial product pricing. It involves Numerical Simulation Methods for ODEs and SDES, Stochastic Optimization.Queues and Networks in Service Operations. Discrete event simulation and its application in manufacturing and service systems.

Teaching Methods

Combined lectures and tutorials

Method of Assessment

Simulation project (report and presentation), written exam.

Literature

TBA

Entry Requirements

For all students: Statistics, Introduction to Programming. Furthermore, EOR students should have passed "Probability Theory" ; EDS students should have passed "Introduction to Data Science"

Recommended background knowledge

Analysis I and Operations Research II