Department of Mathematics

Numerical Analysis of Stochastic ODEs (Comp. Meth. Quant. Fin. I: Monte Carlo Methods)

Lecturer Prof. Arnulf Jentzen Lecture Wed, 13-15 HG E1.1
Fri, 13-14 HG E1.1
Coordinator Dr. Sonja Cox

and Dr. Raphael Kruse


Fri, 14-15 HG E1.1

    Office Hour
Thu, 14-15 HG J47

Start of Lectures: Wednesday, September 19, 2012.

Start of Exercises: Friday, September 28, 2012.

Grading Policy: 

A NUMERICAL GRADE for the course is based only on the written end-of-Semester final examination.
Participation in the written end-of-Semester final examination requires a ''TESTAT''.
A ''TESTAT'' constitutes of ''successful participation in course''.
It is NOT a numerical grade. The ''TESTAT'' is given if correct solution of at least 70 per cent of COURSE HOMEWORK ASSIGNMENTS has been achieved.

Students wishing to view their corrected exam are invited to visit us on Wednesday, February 20th, 2013, between 12:00 and 14:00. Room: HG J47


Examination Details:

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
under WINDOWS. An own computer is NOT allowed for the examination.



The details concerning the exercise classes can be found here.


Lecture notes

Lecture notes will be handed out in class.



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© 2014 Mathematics Department | Imprint | Disclaimer | 20 February 2013