Fundamental methods of enumeration and asymptotic analysis, including the use of inclusion/exclusion, generating functions, and recurrence relations. Applications to strings over a finite alphabet and graphs.
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.
Reliability systems and related distributions, failure rate functions and nonparametric classes, accelerated life testing, dependent failure analysis, statistical inference of reliability data. (Also listed as ISyE 6781)
This is the second of a two-semester sequence that develops basic probability concepts and models for working with financial markets and derivative securities. Continuous-time parameter stochastic processes are emphasized in this course. Mathematical concepts are introduced as needed.
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)