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 Lukas Herrmann

and Ryan Kurniawan


Fri, 14-15 HG E1.1

Fri, 14-15 HG D3.2

    Office Hour
Tue, 15-16 HG G53

or write an email to the coordinators for an appointment

Start of Lectures: Wednesday, September 17, 2014.

First exercise series: Friday, September 26, 2014

First exercise class: Friday, October 10, 2014

Date for End-of-Semester Exam: Wednesday, December 17, 2014, 12:30 - 14:30, students must arrive before 12:00 at HG E19

Room for the Exam: HG E19

Date for exam inspection: Tuesday, February 24, 2015, 12:00 - 13:00 HG D3.1

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. An own computer is NOT allowed for the examination.




The details concerning the exercise classes can be found here.


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

Lecture notes

The pdf file can be downloaded from the link below.




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© 2016 Mathematics Department | Imprint | Disclaimer | 9 February 2015