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.
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.
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)