• Introduction, Systems of Linear Equations, Iterative Methods, Linear Least Squares, Eigenvalue Problems, Nonlinear Equations, Optimization; Coursework and Programming Projects.

    For further information see the academic catalog: IAM561

  • Interpolation, Numerical Integration and Differentiation, Initial Value Problems for Ordinary Differential Equations, Boundary Value Problems for Ordinary Differential Equations, Partial Differential Equations, Fast Fourier Transform.

    For further information see the academic catalog: IAM562

  • Fixed-income securities, basic portfolio optimization, binomial method for options; Ito process and its applications in stock market, Black-Scholes equation and its solution; random numbers, transformation of random numbers and generating normal variates, Monte Carlo integration, pricing options by Monte Carlo simulation, variance reduction techniques, quasi-random numbers and quasi-Monte Carlo simulation; introduction to finite difference methods, explicit and implicit finite difference schemes, Crank-Nicolson method, free-boundary value problems for American options.

    For further information see the academic catalog: IAM749

  • Unconstrained optimization: line search methods, steepest descent, Newton and quasi Newton methods, the conjugate gradient method constrained optimization: equality and inequality constraints, linear constraints and duality, linear programming, the simplex method, Lagrange multiplier algorithms, interior point methods, penalty methods, large scale optimization.

    For further information see the academic catalog: IAM566

  • This course is intended to all students at the Institute. After a short introduction to Matlab various algorithms, their complexity will be introduced and symbolic, numerical and stochastic algorithms will be followed. Students will be encouraged to carry out several projects in groups. Moreover, students in groups will complete a term project at the end of the semester.

    For further information see the academic catalog: IAM565