fa19

Fall 2019

Archived: 

Stochastic Processes and Stochastic Calculus I

An introduction to the Ito stochastic calculus and stochastic differential equations through a development of continuous-time martingales and Markov processes. (1st of two courses in sequence)

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.

Graph Algorithms

Algorithms for graph problems such as maximum flow, matching, network reliability, minimum cuts, covering, coloring, planarity, shortest paths, and connectivity. Crosslisted with CS 7510 and ISYE 7510.

Modeling and Dynamics

Mathematical methods for solving problems in the life sciences. Models-based course on basic facts from the theory of ordinary differential equations and numerical methods of their solution. Introduction to the control theory, diffusion theory, maximization, minimization and curve fitting.

Algebra I

Graduate level linear and abstract algebra including groups, rings, modules, and fields. (1st of two courses)

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.

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