Subject
Mathematics
Program
Master of Science (MSc)
Location
Côte-des-Neiges
Instruction mode
Credits
4
Description
This course covers a selection of topics in mathematics that are widely used in financial engineering. It provides a refresher on basic and important topics, and covers advanced topics as well. All the content is motivated by financial notions and applications.
This course prepares students for the MSc courses in financial engineering. More specifically, it reviews basic concepts in probability and covers advanced topics in stochastic modeling and processes. Next, it discusses some topics in linear algebra and their connections to the ones discussed in probability. Finally, selected topics in the single and the multivariabe calculus and differential equations are covered.
Themes covered
Probability and Random Variables: basic concepts of probability discrete random variables continuous random variables
Multiple Random Variables and Stochastic Processes: Multiple RVs stochastic processes stochastic convergence limit theorems
Common Stochastic Processes: Poisson process Markov chains in discrete-time Markov chains in continuous-time Brownian motions
Linear Algebra and its connections to probability: vector spaces singular value decomposition the Perron-Frobenius theorem and their connections to notions of probability
Review of basic topics in single variable and multivariable calculus
Differential equations: Ordinary differential equations partial differential equations linear heat equation
Important notes
Course in French : MATH 60699
This course is a preparatory course.
Cours réservé aux étudiant(e)s du programme de phase préparatoire à la MSC.
Cours réservé aux étudiant(e)s du programme de phase préparatoire à la MSC.