401-4657-00L  Numerical Analysis of Stochastic Ordinary Differential Equations

SemesterAutumn Semester 2019
LecturersK. Kirchner
Periodicityyearly recurring course
Language of instructionEnglish
CommentAlternative course title: "Computational Methods for Quantitative Finance: Monte Carlo and Sampling Methods"


Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits6 credits
ExaminersK. Kirchner
Typeend-of-semester examination
Language of examinationEnglish
RepetitionThe performance assessment is only offered at the end after the course unit. Repetition only possible after re-enrolling.
Additional information on mode of examinationLearning tasks: Meaningful solutions to 70% of the weekly homework assignments can count as bonus of up to +0.25 of final grade.

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.
Own computer will NOT be allowed for the examination.