Georgia Institute of Technology College of Sciences

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.

Fourier analysis on the torus and Euclidean space.

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.

Iterative methods for linear and nonlinear systems of equations including Jacobi, G-S, SOR, CG, multigrid, fixed point methods, Newton quasi-Newton, updating, gradient methods. Crosslisted with CSE 6644.

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