Simulation Modelling of Financial Systems

Entry requirements: Basic skills in modelling and programming, knowledge of concepts and definitions of statistics, finance and economic systems, analytical skills.

Credits: 5

Course: Elective

Language of the course: Russian

Lecturer

Valentina Guleva

Objectives

Students will learn to:

  • Formulate problems, methods and algorithms of simulation modelling of financial systems
  • Adapt and efficiently employ methods of parameter identification and validation of financial system simulation models based on real data
  • Analyze the structures of financial economic systems
  • Mathematically model economic development, growth and micro-economic processes
  • Master the technologies of configuration, testing and practical implementation of financial system simulation models
  • Design architecture of software systems that implement financial system simulation models

Contents

  • General concepts of simulation modelling
  • Methods of modelling random events and variables
  • Methods of modelling random processes and fields
  • Methods of modelling discrete stochastic objects
  • Simulation modelling of bank's operations
  • Simulation modelling of stock trading
  • Simulation modelling of bank-to-bank interaction
  • Simulation modelling of client activities
  • Software systems of simulation modelling

Format

Lectures and labs

Assessment

Attendance is mandatory. Students should complete all the assignments. The final grade is based on the student performance throughout the course.