Georgia Institute of Technology College of Sciences

The first of a two course sequence of faculty-directed independent research culminating in the writing of a senior thesis and its presentation.

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)

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.

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

An advanced course in Linear Algebra and applications.

Spectral theory of bounded and unbounded operators, major theorems of functional analysis, additional topics.

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.

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

Basic unifying theory underlying techniques of regression, analysis of variance and covariance, from a geometric point of view. Modern computational capabilities are exploited fully. Students apply the theory to real data through canned and coded programs.

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