fa17

Fall 2017

Archived: 

The Practice of Quantitative and Computational Finance

Case studies, visiting lecturers from financial institutions, student group projects of an advanced nature, and student reports, all centered around quantitative and computational finance. Crosslisted with ISYE and MGT 6785.

Design and Implementation of Systems to Support Computational Finance

Introduction to large scale-system design to support computational finance for options, stocks, or other instruments.

Advanced Linear Algebra

An advanced course in Linear Algebra and applications.

Enumerative Combinatorics

Fundamental methods of enumeration and asymptotic analysis, including the use of inclusion/exclusion, generating functions, and recurrence relations. Applications to strings over a finite alphabet and graphs.

Harmonic Analysis

Fourier analysis in Euclidean space. Basic topics including L^1 and L^2 theory; advanced topics such as distribution theory, uncertainty, Littlewood-Paley theory

Numerical Linear Algebra

Introduction to the numerical solution of the classic problems of linear algebra including linear systems, least squares, SVD, eigenvalue problems. Crosslisted with CSE 6643.

Stochastic Processes I

Discrete time Markov chains, Poisson processes and renewal processes. Transient and limiting behavior. Average cost and utility measures of systems. Algorithm for computing performance measures. Modeling of inventories, and flows in manufacturing and computer networks. (Also listed as ISyE 6761)

Stochastic Processes in Finance I

Mathematical modeling of financial markets, derivative securities pricing, and portfolio optimization. Concepts from probability and mathematics are introduced as needed. Crosslisted with ISYE 6759.

Math Methods of Applied Sciences I

Review of linear algebra and ordinary differential equations, brief introduction to functions of a complex variable.

Introduction to Numerical Methods for Partial Differential Equations

Introduction to the implementation and analysis of numerical algorithms for the numerical solution of the classic partial differential equations of science and engineering.

Pages

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