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 Ryan Kurniawan

and Primoz Pusnik

Exercises Fri, 14-15 HG E1.1

Fri, 14-15 HG D3.2

    Office Hour
Wed, 15-16 HG G56.2

or write an email to the coordinators for an appointment

Start of Lectures: Wednesday, September 16, 2015

First exercise series: Friday, September 25, 2015

First exercise class: Friday, October 9, 2015

Date for End-of-Semester Exam: Wednesday, December 16, 2015, 12:30-14:30, students must arrive before 12:00 at ETH HG E19

Room for the Exam:ETH HG E19

Date and place for exam inspection: Tuesday, March 1, 2016, 12:15-13:15 in HG E 33.5

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.




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

Lecture notes

The pdf file can be downloaded from the link below.

Lecture notes Version: 09 December 2015


See page iii of the lecture notes (updated weekly)




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