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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 9:04AM Thursday, July 18, 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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SIS update 07/18/19 09:04    web update 07/18/19 09:20