Department of Mathematics

Numerical Analysis of Stochastic ODEs (Comp. Meth. Quant. Fin. I: Monte Carlo Methods)

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Lecturer Prof. Dr. Arnulf Jentzen Lecture Wed, 13-15 HG E1.1
Fri, 13-14 HG E1.1
Coordinators Dr. Sonja Cox

and Dr. Raphael Kruse


Fri, 14-15 HG E1.1

    Office Hour
Thu, 14-15 HG G53.2

Start of Lectures: Wednesday, September 18, 2013.

Start of Exercises: Friday, September 27, 2013.

Date for End-of-Semester Exam: Wednesday, December 18, 2013, 13:00-15:00, Room HG E19

Date for examination of graded exams: Thursday, February 27, 2014 14-15 HG G53.2

Examination Details:

A NUMERICAL GRADE for the course is based only on the written end-of-Semester final examination.

The end-of-Semester examination will be *closed book*, 2hr in class,
and will involve theoretical as well as MATLAB programming problems.
Examination will take place on ETH-workstations running MATLAB
under WINDOWS. An own computer is NOT allowed for the examination.


Sample EXAM:

A sample exam can be found here.



The details concerning the exercise classes can be found here.


Mandatory: Probability and measure theory,
basic numerical analysis and
MATLAB programming.

Lecture notes

Lecture notes will be handed out in class.

The pdf file(s) can be downloaded from the link(s) below.

Complete lecture notes Version: 10 February 2014
Titlepage  Version: 06 December 2013
Chapters 0-3 Version: 06 December 2013
Chapter 4 Version: 11 December 2013
Chapter 5
Version: 11 December 2013
Chapter 6
Version: 29 November 2013
Chapters 7 + Bibliography
Version: 04 December 2013



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© 2016 Mathematics Department | Imprint | Disclaimer | 10 February 2014