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Ministry of Education and Science of the Russian Federation

National Research University - Novosibirsk State University (NRU NSU)

Department of Mechanics and Mathematics







MASTER EDUCATIONAL PROGRAMME
FOR TEACHING FOREIGN STUDENTS IN ENGLISH

Numerical Statistical Modelling and Simulation.
Monte Carlo Methods



qualification (degree) of the graduate
Master


training direction
010400 - Applied Mathematics and Information Science



Full-time tuition




Supervisor: ANTON VACLAVOVICH VOYTISHEK, professor of the
Chair of Computational Mathematics NRU NSU








Novosibirsk, Russia
2013
Contents


Introduction..................................................................
...........................4
National Research University - Novosibirsk State University.
Department of Mechanics
and Mathematics
Chair of Computational Mathematics DMM NRU NSU
Development of the Master Educational Programme (MEP) "Numerical
Statistical Modelling and
Simulation. Monte Carlo Methods"
Information about the supervisor of the programme - Prof.
A.V.Voytishek.................6
Scientific biography
Main scientific works: papers in international journals (from 2008)
Main scientific works: textbooks and teaching aids
Brief description of the MEP "Numerical Statistical Modelling and
Simulation.
Monte Carlo
Methods".....................................................................
.......8
Definition of the Master Educational Programme (MEP)
Aims and objectives of the MEP
Training period of the MEP
Training capacity of the MEP
Conditions for admission to the MEP "Numerical Statistical Modelling and
Simulation. Monte Carlo
Methods".............................................................9
Educational level of the entrant
Selection procedure to the MEP (the major dates)
Interview on the Chair of Numerical Mathematics NRU NSU
Formal reception to the MEP. Training payment
Learning outcomes of the MEP "Numerical Statistical Modelling and
Simulation.
Monte Carlo
Methods"......................................................................
.....11
General comments
Acquired knowledge and skills (according to the MEP curriculum)
Professional characteristics of the MEP graduates
Structure and features of the MEP "Numerical Statistical Modelling and
Simulation. Monte Carlo
Methods".............................................................14
Approximate curriculum of the MEP
Semester programs of the MEP
Contents of courses and disciplines of the MEP "Numerical Statistical
Modelling
and Simulation. Monte Carlo
Methods".......................................................19
M.1-B-1 Modern problems of numerical mathematics
M.1-B-2 Random process simulation and continuous stochastic models
M.1-V-3 Inverse problems
M.1-B-4 English academic writing
M.1-B-4 History of numerical statistical modelling and simulation
M.1.-V-1 Advance probability
M.1-V-2 Stochastic processes
M.1-V-3 Markov chains
M.1-V-4 Statistics of stochastic processes
M.1-V-5 Numerical methods
M.1-V-6 Methods of discrete simulation
M.1-V-7 Operations research
M.1-V-8 Number theory
M.2-B-1 Monte Carlo methods (basic course)
M.2-B-2 Monte Carlo methods (professional course)
M.2-B-3 Modern computer technologies in stochastic simulation
M.2-B-4 Discrete-stochastic numerical methods
M.2-B-5 Numerical modelling of discrete random processes and fields
M.2-V-1 Additional data on numerical modelling of stochastic elements
M.2-V-2 Discrete-stochastic methods of numerical integration
M.2-V-3 Investigation and error reduction in the weighted Monte Carlo
methods
M.2-V-4 Vector algorithms of the Monte Carlo method
M.2-V-5 Functional algorithms of the Monte Carlo method
M.2-V-6 Monte Carlo methods for solving boundary value problems of
mathematical physics
M.2-V-7 Numerical solution of ordinary and stochastic differential
equations
M.2-V-8 Advanced stochastic simulation methods in applied mathematics
and physics
M.2-V-9 Numerical methods in theory of radiation transfer
M.2-V-10 Solving direct and inverse problems of radiation transfer by
the Monte Carlo method
M.2-V-11 Methods of statistical modelling for solution of nonlinear
kinetic equations
M.2-V-12 Numerical models of random functions with applications in
geophysics
M.2-V-13 Stochastic models of meteorological processes
M.2-V-14 Numerical analysis of stochastic differential equations and
financial mathematics
M.2-V-15 Applied statistics
M.2-V-16 Random walks
M.2-V-17 Applied regression analysis
M.2-V-18 Financial mathematics
M.2-V-19 Parallel numerical methods
M.2-V-20 Special course of visiting professor
M.3-1 Scientific seminar "Monte Carlo methods in numerical mathematics
and mathematical
physics"
M.3-2 Preparation and defending the term paper
M.3-3 Research work in a laboratory of Institute of Computational
Mathematics and Mathematical
Geophysics SD RAS
M.3-4 Reports at scientific conferences
M.3-5 Development of the master dissertation
M.4-1 Passing the state exam
M.4-2 Preparation and defending the master dissertation

APPENDIX 1. List of competencies of the graduates of the MEP (according to
the SMS for training direction 010400 - "Applied Mathematics and
Information
Science").....................................................................
......79
General cultural competences (GCC)
Professional competences (PC)
APPENDIX 2. Examples of admission tests and interview control questions for

the MEP "Numerical Statistical Modelling and Simulation. Monte Carlo
Methods"..80
Admission test of 2012
Admission test of 2011
Examples of interview control questions

Introduction

National Research University - Novosibirsk State University.
Department of Mechanics and Mathematics
Novosibirsk State University (NSU; see the site
http://www.nsu.ru/exp/index.jz?lang=en) was established in 1958. NSU was
growing up together with world known Novosibirsk Scientific Center
(Akademgorodok) focusing on training highly qualified specialists for
science and education.
The Department of Mechanics and Mathematics (DMM; see the site
http://www.nsu.ru/exp/en/education/mechanics_and_mathematics) is one of the
leading divisions of NSU. It was founded in 1961. The DMM has three levels
of education: for Bachelor degree, for Master degree and postgraduate
study. Students get trained in the following fields: Mathematics,
Mathematics and Computer Science, Applied Mathematics and Information
Science, Mechanics and Mathematical Simulation.
The main courses on DMM are held by outstanding scientists from
institutes of Siberian Branch (SB) of Russian Academy of Sciences (RAS).
Apart from attending the courses students have an opportunity to join
leading scientific schools in these institutes. Both professors and
students take an active part in corporative projects along with researchers
from the world's and Russia leading universities and scientific
organizations. Working in RAS research institutes senior students carry out
research in modern fields of mathematics and its applications (including
various fundamental and modern issues of mathematical model construction
and computer science). Such specialization diversity allows students to
prepare both for carrying out research in scientific institutes and for
practical work in many areas applying the latest information technologies.
Every year the International student scientific conference "Students and
the Progress in Science and Technologies" takes place in NSU (see the site
http://issc.nsu.ru/index.php?lang=1), where students and young scientists
can deliver talks on their researches and get acquainted with the results
of their colleagues.
At 2009, after the complete selection among the leading Russian
universities, the Novosibirsk State University got the category National
Research University (NRU). This category was awarded by the Government of
the Russian Federation on the basis of special Development Program of NSU
for the period 2009-2018 (see the site
http://www.nsu.ru/exp/en/university/national_research_university). The
strategy goal of the Program is (quote): "to form a research-educational
system of national and global importance...which will be able to provide an
advised specialist training based on science, education and business
integration".
At 2013 NRU NSU became one of 15 Russian universities that had won in the
competition the right to get a subsidy that will favour the university
advancement in the world ratings.
Chair of Computational Mathematics DMM NRU NSU
The educational process and research specialization on DMM NRU NSU are
realized by professors and tutors on the staff of 19 chairs in various
directions of mathematics. The Chair of Computational Mathematics is one of
the leading educational and scientific divisions of DMM (see the site
htt