Directory of Classes

NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information.


Spring 2021 Mathematics GR5030 section 001
NUMERICAL METHODS IN FINANCE
NUMERICAL METHODS IN FINA

Call Number 12272
Day & Time
Location
MW 7:40pm-8:44pm
ONLINE ONLY
Points 3
Grading Mode Standard
Approvals Required None
Instructor Tat Sang Fung
Type LECTURE
Method of Instruction On-Line Only
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 56 students (116 max) as of 4:19PM Wednesday, December 8, 2021
Subject Mathematics
Number GR5030
Section 001
Division Graduate School of Arts and Sciences
Campus Morningside
Note MAFN Students ONLY. Open to STATS 1/4. Open to Univ. 1/11
Section key 20211MATH5030G001

Home      About This Directory      Online Bulletins      ColumbiaWeb      SSOL
SIS update 12/08/21 16:19    web update 12/08/21 16:20