NOTE: Course information changes frequently. Please re-visit these pages periodically for the most recent and up-to-date information. | |
Spring 2019 Mathematics GR5030 section 001 NUMERICAL METHODS IN FINANCE | |
Call Number | 63321 |
Day & Time Location |
MW 7:40pm-8:55pm 312 Mathematics Building |
Points | 3 |
Grading Mode | Standard |
Approvals Required | None |
Instructor | Tat Sang Fung |
Type | LECTURE |
Method of Instruction | Classroom |
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 | 107 students (116 max) as of 8:08PM Monday, April 22, 2019 |
Status | Full |
Final Exam Day/Time | W 7:10pm-10:00pm |
Final Location | 312 Mathematics Building |
Subject | Mathematics |
Number | GR5030 |
Section | 001 |
Division | Graduate School of Arts and Sciences |
Open To | Barnard, Columbia College, Engineering and Applied Science: Graduate, Graduate School of Arts and Science, General Studies, School of Professional Studies, Global Programs, International and Public Affairs |
Campus | Morningside |
Note | MAFN Students ONLY. Open to STATS 1/07. Open to Univ. 1/15 |
Section key | 20191MATH5030G001 |
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