Case studies, visiting lecturers from financial institutions, student group projects of an advanced nature, and student reports, all centered around quantitative and computational finance. Crosslisted with ISYE and MGT 6785.
Discrete time Markov chains, Poisson processes and renewal processes. Transient and limiting behavior. Average cost and utility measures of systems. Algorithm for computing performance measures. Modeling of inventories, and flows in manufacturing and computer networks. (Also listed as ISyE 6761)
Mathematical methods for solving problems in the life sciences. Models-based course on basic facts from the theory of ordinary differential equations and numerical methods of their solution. Introduction to the control theory, diffusion theory, maximization, minimization and curve fitting.
Geometry, convergence, and structure of linear operators in infinite dimensional spaces. Applications to science and engineering, including integral equations and ordinary and partial differential equations.