Syllabus-Math472 Fall16 - Math 472 Numerical Methods with...

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Math 472 Numerical Methods withFinancial ApplicationsInstructor:Christian Keller, 4843 EH, [email protected]Time and location:TuTh 8:30am-10:00am, 1505 CCLOffice hours:Tu 10:00am-12:00pm, Th 10:00am-11:00am, or by appointmentCourse description:This is a survey course of basic numerical methods used to solve scientificproblems.The emphasis is divided between the analysis of the methods, their practical applica-tions, and getting comfortable using a computer language for implementation. Topics intended tobe covered are: root finding methods; system of linear equations; interpolation and polynomial ap-proximation; numerical differentiation and integration; numerical methods for ordinary differentialequations and partial differential equations; numerical methods for stochastic differential equations;basic Monte-Carlo simulations; financial applications, in particular, the Black-Scholes equation.Textbook:Numerical Analysis (second edition), Author: Timothy Sauer. ISBN: 0321783670.

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Term
Fall
Professor
STAFF
Tags
Math, Linear Algebra, Numerical Analysis, Partial differential equation

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