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 |

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