| Call Number | 12376 |
|---|---|
| Day & Time Location |
MW 5:40pm-6:55pm 417 Mathematics Building |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | Instructor |
| Instructor | Luca Capriotti |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g. in MATH W5010. Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g. in MATH W5010. Review of the basic numerical methods for partial differential equations, variational inequalities and free-boundary problems. Numerical methods for solving stochastic differential equations; random number generation, Monte Carlo techniques for evaluating path-integrals, numerical techniques for the valuation of American, path-dependent and barrier options. |
| Web Site | Vergil |
| Department | Mathematics |
| Enrollment | 45 students (64 max) as of 4:05PM Saturday, December 21, 2024 |
| Subject | Mathematics |
| Number | GR5030 |
| Section | 002 |
| Division | Graduate School of Arts and Sciences |
| Open To | GSAS |
| Note | Priority to MAFN. Open to STATS 1/8. Open to Univ. 1/15 |
| Section key | 20241MATH5030G002 |