| Call Number | 11113 |
|---|---|
| Day & Time Location |
TR 4:10pm-5:25pm To be announced |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Jaehyuk Choi |
| 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 | 0 students (100 max) as of 8:07PM Wednesday, October 29, 2025 |
| Subject | Mathematics |
| Number | GR5030 |
| Section | 001 |
| Division | Graduate School of Arts and Sciences |
| Open To | GSAS |
| Note | MAFN Students ONLY. Open to STATS 1/26. Open to Univ. 1/28 |
| Section key | 20261MATH5030G001 |