Georgia Institute of Technology College of Sciences

Fundamentals of statistical inference are presented and developed for models used in the modern analysis of financial data. Techniques are motivated by examples and developed in the context of applications. Crosslisted with ISYE 6783.

Description, institutional features, and mathematical modeling of fixed income securities. Use of both deterministic and stochastic models. Crosslisted with ISYE 6769.

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.

Topics include L^p, Banach and Hilbert spaces, basic functional analysis.

Continuous time Markov chains. Uniformization, transient and limiting behavior. Brownian motion and martingales. Optional sampling and convergence. Modeling of inventories, finance, flows in manufacturing and computer networks. (Also listed as ISyE 6762)

Review of vector calculus and and its application to partial differential equations.

Analysis and implementation of numerical methods for initial and two point boundary value problems for ordinary differential equations.

Analysis and implementation of numerical methods for nonlinear partial differential equations including elliptic, hyperbolic, and/or parabolic problems.

This course contains the basic numerical and simulation techniques for the pricing of derivative securities.

Core topics in differential and Riemannian geometry including Lie groups, curvature, relations with topology.