Course Descriptions

MAGY.6213I Elemnts Of Real Analy I
3 Points, Thursdays, 6:008:45PM, Instructor TBA
Description TBA 
MAGY.7033I Linear Algebra I
3 Points, Tuesdays, 6:008:45PM, Instructor TBA
Description TBA 
MATHGA.1410001 Introduction To Math Analysis I
3 Points, Mondays, 5:107:00PM, Sinan Gunturk
Description:
Elements of topology on the real line. Rigorous treatment of limits, continuity, differentiation, and the Riemann integral. Taylor series. Introduction to metric spaces. Pointwise and uniform convergence for sequences and series of functions. Applications.

MATHGA.2010001 Numerical Methods I
3 Points, Mondays, 5:107:00PM, Michael Overton
Prerequisites:
A good background in linear algebra, and some experience with writing computer programs (in MATLAB, Python or another language). MATLAB will be used as the main language for the course. Alternatively, you can also use Python for the homework assignments. You are encouraged but not required to learn and use a compiled language.
Description:
This course is part of a twocourse series meant to introduce graduate students in mathematics to the fundamentals of numerical mathematics (but any Ph.D. student seriously interested in applied mathematics should take it). It will be a demanding course covering a broad range of topics. There will be extensive homework assignments involving a mix of theory and computational experiments, and an inclass final. Topics covered in the class include floatingpoint arithmetic, solving large linear systems, eigenvalue problems, interpolation and quadrature (approximation theory), nonlinear systems of equations, linear and nonlinear least squares, nonlinear optimization, and Fourier transforms. This course will not cover differential equations, which form the core of the second part of this series, Numerical Methods II.

MATHGA.2011001 Advanced Topics In Numerical Methods: Monte Carlo Methods
3 Points, Tuesdays, 3:205:10PM, Jonathan Weare
This class primarily concerns the design and analysis of Monte Carlo sampling techniques for the estimation of averages with respect to high dimensional probability distributions. Standard simulation tools such as importance sampling, sequential importance sampling, Gibbs and MetropolisHastings sampling, Langevin dynamics, and hybrid Monte Carlo will be introduced along with basic theoretical concepts regarding their convergence to equilibrium. Particular attention will be paid to the major complicating issues like conditioning and rare events along with methods to address them (e.g. tempering, interacting particle methods, and freeenergy methods).

MATHGA.2011002 Advanced Topics In Numerical Methods: TBA
3 Points, Wednesdays, 5:107:00PM, Georg Stadler
Description TBA 
MATHGA.2041001 Computing In Finance
3 Points, Thursdays, 7:109:00PM, Eran Fishler and Lee Maclin
Description:
This course will introduce students to the software development process, including applications in financial asset trading, research, hedging, portfolio management, and risk management. Students will use the Java programming language to develop objectoriented software, and will focus on the most broadly important elements of programming  superior design, effective problem solving, and the proper use of data structures and algorithms. Students will work with market and historical data to run simulations and test strategies. The course is designed to give students a feel for the practical considerations of software development and deployment. Several key technologies and recent innovations in financial computing will be presented and discussed.

MATHGA.2043001 Scientific Computing
3 Points, Thursdays, 5:107:00PM, Aleksandar Donev
Prerequisites:
Undergraduate multivariate calculus and linear algebra. Programming experience strongly recommended but not required.
Description:
This course is intended to provide a practical introduction to computational problem solving. Topics covered include: the notion of wellconditioned and poorly conditioned problems, with examples drawn from linear algebra; the concepts of forward and backward stability of an algorithm, with examples drawn from floating point arithmetic and linearalgebra; basic techniques for the numerical solution of linear and nonlinear equations, and for numerical optimization, with examples taken from linear algebra and linear programming; principles of numerical interpolation, differentiation and integration, with examples such as splines and quadrature schemes; an introduction to numerical methods for solving ordinary differential equations, with examples such as multistep, Runge Kutta and collocation methods, along with a basic introduction of concepts such as convergence and linear stability; An introduction to basic matrix factorizations, such as the SVD; techniques for computing matrix factorizations, with examples such as the QR method for finding eigenvectors; Basic principles of the discrete/fast Fourier transform, with applications to signal processing, data compression and the solution of differential equations.
This is not a programming course but programming in homework projects with MATLAB/Octave and/or C is an important part of the course work. As many of the class handouts are in the form of MATLAB/Octave scripts, students are strongly encouraged to obtain access to and familiarize themselves with these programming environments.
Recommended Texts:
 Bau III, D., & Trefethen, L.N. (1997). Numerical Linear Algebra. Philadelphia, PA: Society for Industrial & Applied Mathematics.
 Quarteroni, A.M., & Saleri, F. (2006). Texts in Computational Science & Engineering [Series, Bk. 2]. Scientific Computing with MATLAB and Octave (2nd ed.). New York, NY: SpringerVerlag.
 Otto, S.R., & Denier, J.P. (2005). An Introduction to Programming and Numerical Methods in MATLAB. London: SpringerVerlag London.
Crosslisting:
CSCIGA 2112.001

MATHGA.2045001 Nonlinear Problems In Finance: Models And Computational Methods
3 Points, Wednesdays, 7:109:00PM, Julien Guyon and Bryan Liang
Prerequisites:
Derivatives Securities and Stochastic Calculus. Continuous Time Finance is recommended but not required.
Description:
The classical curriculum of mathematical finance programs generally covers the link between linear parabolic partial differential equations (PDEs) and stochastic differential equations (SDEs), resulting from FeynmamKac's formula. However, the challenges faced by today's practitioners mostly involve nonlinear PDEs. The aim of this course is to provide the students with the mathematical tools and computational methods required to tackle these issues, and illustrate the methods with practical case studies such as American option pricing, uncertain volatility, uncertain mortality, different rates for borrowing and lending, calibration of models to market smiles, credit valuation adjustment (CVA), portfolio optimization, transaction costs, illiquid markets, superreplication under delta and gamma constraints, etc.
We will strive to make this course reasonably comprehensive, and to find the right balance between ideas, mathematical theory, and numerical implementations. We will spend some time on the theory: optimal stopping, stochastic control, backward stochastic differential equations (BSDEs), McKean SDEs, branching diffusions. But the main focus will deliberately be on ideas and numerical examples, which we believe help a lot in understanding the tools and building intuition.
Recommended text:
Guyon, J. and HenryLabordère, P.: Nonlinear Option Pricing, Chapman & Hall/CRC Financial Mathematics Series, 2014.

MATHGA.2046001 Advanced Econometrics Modeling And Big Data
3 Points, Wednesdays, 5:107:00PM, Gordon Ritter
Prerequisites:
Derivative Securities, Risk & Portfolio Management with Econometrics, and Computing in Finance (or equivalent programming experience).
Description:
A rigorous background in Bayesian statistics geared towards applications in finance, including decision theory and the Bayesian approach to modeling, inference, point estimation, and forecasting, sufficient statistics, exponential families and conjugate priors, and the posterior predictive density. A detailed treatment of multivariate regression including Bayesian regression, variable selection techniques, multilevel/hierarchical regression models, and generalized linear models (GLMs). Inference for classical timeseries models, state estimation and parameter learning in Hidden Markov Models (HMMs) including the Kalman filter, the BaumWelch algorithm and more generally, Bayesian networks and belief propagation. Solution techniques including Markov Chain Monte Carlo methods, Gibbs Sampling, the EM algorithm, and variational mean field. Real world examples drawn from finance to include stochastic volatility models, portfolio optimization with transaction costs, risk models, and multivariate forecasting.

MATHGA.2047001 Data Science In Quantitative Finance
3 Points, Tuesdays, 7:109:00PM, Petter Kolm and Ivailo Dimov
Prerequisites:
Risk & Portfolio Management with Econometrics, Scientific Computing in Finance (or Scientific Computing) and Computing in Finance (or equivalent programming experience.
Description:
This is a full semester course focusing on practical aspects of alternative data, machine learning and data science in quantitative finance. Homework and handson projects form an integral part of the course, where students get to explore realworld datasets and software.
The course begins with an overview of the field, its technological and mathematical foundations, paying special attention to differences between data science in finance and other industries. We review the software that will be used throughout the course.
We examine the basic problems of supervised and unsupervised machine learning, and learn the link between regression and conditioning. Then we deepen our understanding of the main challenge in data science – the curse of dimensionality – as well as the basic tradeoff of variance (model parsimony) vs. bias (model flexibility).
Demonstrations are given for real world data sets and basic data acquisition techniques such as web scraping and the merging of data sets. As homework each student is assigned to take part in downloading, cleaning, and testing data in a common repository, to be used at later stages in the class.
We examine linear and quadratic methods in regression, classification and unsupervised learning. We build a BARRAstyle implicit riskfactor model and examine predictive models for countylevel real estate, economic and demographic data, and macro economic data. We then take a dive into PCA, ICA and clustering methods to develop global macro indicators and estimate stable correlation matrices for equities.
In many reallife problems, one needs to do SVD on a matrix with missing values. Common applications include noisy imagerecognition and recommendation systems. We discuss the Expectation Maximization algorithm, the L1regularized Compressed Sensing algorithm, and a naïve gradient search algorithm.
The rest of the course focuses on nonlinear or highdimensional supervised learning problems. First, kernel smoothing and kernel regression methods are introduced as a way to tackle nonlinear problems in low dimensions in a nearly modelfree way. Then we proceed to generalize the kernel regression method in the Bayesian Regression framework of Gaussian Fields, and for classification as we introduce Support Vector Machines, Random Forest regression, Neural Nets and Universal Function Approximators.

MATHGA.2110001 Linear Algebra I
3 Points, Tuesdays, 5:107:00PM, Yu Chen
Prerequisites:
Undergraduate linear algebra or permission of the instructor.
Description:
Linear spaces, subspaces. Linear dependence, linear independence; span, basis, dimension, isomorphism. Quotient spaces. Linear functionals, Dual spaces. Linear mappings, null space, range, fundamental theorem of linear algebra. Underdetermined systems of linear equations. Composition, inverse, transpose of linear maps, algebra of linear maps. Similarity transformations. Matrices, matrix Multiplication, Matrix Inverse, Matrix Representation of Linear Maps, Determinant, Laplace expansion, Cramer's rule. Eigenvalue problem, eigenvalues and eigenvectors, characteristic polynomial, CayleyHamilton theorem. Diagonalization.

MATHGA.2111001 Linear Algebra (OneTerm)
3 Points, Thursdays, 9:0010:50AM, TBA
Prerequisites:
Undergraduate linear algebra.
Description:
Linear algebra is two things in one: a general methodology for solving linear systems, and a beautiful abstract structure underlying much of mathematics and the sciences. This course will try to strike a balance between both. We will follow the book of our own Peter Lax, which does a superb job in describing the mathematical structure of linear algebra, and complement it with applications and computing. The most advanced topics include spectral theory, convexity, duality, and various matrix decompositions.
Text:
Lax, P.D. (2007). Pure and Applied Mathematics: A Wiley Series of Texts, Monographs and Tracts [Series, Bk. 78]. Linear Algebra and Its Applications (2^{nd} ed.). Hoboken, NJ: John Wiley & Sons/ WileyInterscience.
Recommended Text:
Strang, G. (2005). Linear Algebra and Its Applications (4^{th} ed.). Stamford, CT: Cengage Learning.

MATHGA.2130001 Algebra I
3 Points, Thursdays, 7:109:00PM, Yuri Tschinkel
Prerequisites:
Elements of linear algebra and the theory of rings and fields.
Description:
Basic concepts of groups, rings and fields. Symmetry groups, linear groups, Sylow theorems; quotient rings, polynomial rings, ideals, unique factorization, Nullstellensatz; field extensions, finite fields.
Recommended Texts:
 Artin, M. (2010). Featured Titles for Abstract Algebra [Series]. Algebra (2^{nd} ed.). Upper Saddle River, NJ: Pearson
 ChambertLoir, A. (2004). Undergraduate Texts in Mathematics [Series]. A Field Guide to Algebra (2005 ed.). New York, NY: SpringerVerlag
 Serre, JP. (1996). Graduate Texts in Mathematics [Series, Vol. 7]. A Course in Arithmetic (Corr. 3^{rd} printing 1996 ed.). New York, NY: SpringerVerlag

MATHGA.2310001 Topology I
3 Points, Thursdays, 5:107:00PM, Sylvain Cappell
Prerequisites:
Any knowledge of groups, rings, vector spaces and multivariable calculus is helpful. Undergraduate students planning to take this course must have V63.0343 Algebra I or permission of the Department.
Description:
After introducing metric and general topological spaces, the emphasis will be on the algebraic topology of manifolds and cell complexes. Elements of algebraic topology to be covered include fundamental groups and covering spaces, homotopy and the degree of maps and its applications. Some differential topology will be introduced including transversality and intersection theory. Some examples will be taken from knot theory.
Recommended Texts:
 Hatcher, A. (2002). Algebraic Topology. New York, NY: Cambridge University Press
 Munkres, J. (2000). Topology (2^{nd} ed.). Upper Saddle River, NJ: PrenticeHall/ Pearson Education
 Guillemin, V., Pollack, A. (1974). Differential Topology. Englewood Cliffs, NJ: PrenticeHall
 Milnor, J.W. (1997). Princeton Landmarks in Mathematics [Series]. Topology from a Differentiable Viewpoint (Rev. ed.). Princeton, NJ: Princeton University Press

MATHGA.2350001 Differential Geometry I
3 Points, Tuesdays, 3:205:05PM, Jeff Cheeger
Prerequisites:
Multivariable calculus and linear algebra.
Description:
Differentiable manifolds, tangent bundle, embedding theorems, vector fields and differential forms. Introduction to Riemannian metrics, connections and geodesics.
Text:
Lee, J.M. (2009).Graduate Studies in Mathematics [Series, Vol. 107]. Manifolds and Differential Geometry. Providence, RI: American Mathematical Society.

MATHGA.2400001 Advanced Topics In Geometry: Complex Riemann Surfaces & Algebraic Functions
3 Points, Mondays, Wednesdays, 3:304:45PM, Fedor Bogomolov
In this course I will discuss basic properties of the geometry of projective curves and the fields of rational functions on the curves.
There is a lot of literature on the subject: I will use the book of Arbarello, Cornalba, Griffiths, Harris “Geometry of Algebraic curves” and the book Bogomolov Petrov “Algebraic curves and Onedimensional fields (Courant lecture Notes)”
1) Lecture 1 : topology of Riemann surfaces, genus, Complex Riemann surfaces as quotients. Fields of meromorphic functions on complex compact Riemann surfaces and first properties.
2) Lecture 2 : Onedimensional fields, valuations of the field and points on a projective curve i.e. compact complex Riemann surface if the ground field is the field of complex numbers.
3) Lecture 3 : Line bundles and coherent sheaves on curves, divisors. Classes of divisors. Elliptic and Hyperelliptic curves.
4) Lecture 4 : Cohomology of coherent sheaves on curves. Hollmorpic differentials.
5) Lecture 5 : Jacobian variety of the projective curve.
6) Lecture 6 : Duality, Riemann Roch theorem, Cohomology calculation.
7) Lecture 7: Curves over finite fields.

MATHGA.2430001 Real Variables (OneTerm)
3 Points, Mondays, Wednesdays, 9:3510:50AM, Jalal Shatah
Note: Master's students need permission of course instructor before registering for this course.
Prerequisites:
A familiarity with rigorous mathematics, proof writing, and the epsilondelta approach to analysis, preferably at the level of MATHGA 1410, 1420 Introduction to Mathematical Analysis I, II.
Description:
Measure theory and integration. Lebesgue measure on the line and abstract measure spaces. Absolute continuity, Lebesgue differentiation, and the RadonNikodym theorem. Product measures, the Fubini theorem, etc. L^p spaces, Hilbert spaces, and the Riesz representation theorem. Fourier series.
Main Text:
Folland's “Real Analysis: Modern Techniques and Their Applications”
Secondary Text:
Bass' “Real Analysis for Graduate Students”

MATHGA.2450001 Complex Variables I
3 Points, Tuesdays, 7:109:00PM, Antoine Cerfon
Prerequisites:
Advanced calculus (or equivalent).
Description:
Complex numbers; analytic functions, CauchyRiemann equations; linear fractional transformations; construction and geometry of the elementary functions; Green's theorem, Cauchy's theorem; Jordan curve theorem, Cauchy's formula; Taylor's theorem, Laurent expansion; analytic continuation; isolated singularities, Liouville's theorem; Abel's convergence theorem and the Poisson integral formula.
Text:
Brown, J., & Churchill, R. (2008). Complex Variables and Applications (8^{th} ed.). New York, NY: McGrawHill.

MATHGA.2451001 Complex Variables (OneTerm)
3 Points, Tuesdays, Thursdays, 2:003:15PM, Charles Newman
Note: Master's students need permission of course instructor before registering for this course.
Prerequisites:
Complex Variables I (or equivalent) and MATHGA 1410 Introduction to Math Analysis I.
Description:
Complex numbers, the complex plane. Power series, differentiability of convergent power series. CauchyRiemann equations, harmonic functions. conformal mapping, linear fractional transformation. Integration, Cauchy integral theorem, Cauchy integral formula. Morera's theorem. Taylor series, residue calculus. Maximum modulus theorem. Poisson formula. Liouville theorem. Rouche's theorem. Weierstrass and MittagLeffler representation theorems. Singularities of analytic functions, poles, branch points, essential singularities, branch points. Analytic continuation, monodromy theorem, Schwarz reflection principle. Compactness of families of uniformly bounded analytic functions. Integral representations of special functions. Distribution of function values of entire functions.
Text:
Ahlfors, L. (1979). International Series in Pure and Applied Mathematics [Series, Bk. 7]. Complex Analysis (4^{th} ed.). New York, NY: McGrawHill.

MATHGA.2490001 Introduction To Partial Differential Equations
3 Points, Mondays, 11:0012:50PM, Vlad Vicol
Prerequisites:
Knowledge of undergraduate level linear algebra and ODE; also some exposure to complex variables (can be taken concurrently).
Description:
A basic introduction to PDEs, designed for a broad range of students whose goals may range from theory to applications. This course emphasizes examples, representation formulas, and properties that can be understood using relatively elementary tools. We will take a broad viewpoint, including how the equations we consider emerge from applications, and how they can be solved numerically. Topics will include: the heat equation; the wave equation; Laplace's equation; conservation laws; and HamiltonJacobi equations. Methods introduced through these topics will include: fundamental solutions and Green's functions; energy principles; maximum principles; separation of variables; Duhamel's principle; the method of characteristics; numerical schemes involving finite differences or Galerkin approximation; and many more.
See the course syllabus for more information (including a tentative semester plan).
Recommended Texts:
 Guenther, R.B., & Lee, J.W. (1996). Partial Differential Equations of Mathematical Physics and Integral Equations. Mineola, NY: Dover Publications.
 Evans, L.C. (2010). Graduate Studies in Mathematics [Series, Bk. 19]. Partial Differential Equations (2nd ed.). Providence, RI: American Mathematical Society.

MATHGA.2510001 Advanced Partial Differential Equations
3 Points, Thursdays, 9:0010:50AM, Sylvia Serfaty
Description:
Elliptic regularity theory: Cacciopoli inequality, Schauder estimates, De GiorgiNash Theory. Variational methods. Homogenization. Basics on hyperbolic equations, dispersive equations and viscosity solutions.

MATHGA.2550001 Functional Analysis
3 Points, Tuesdays, 11:0012:50PM, Fanghua Lin
Prerequisites:
Linear algebra, real variables (including measure theory), and basic complex analysis.
Description:
Topics: Banach spaces. Functionals and operators. Principle of uniform boundedness, open mapping and closed graph theorems. Duality and weak topologies. Alaoglu's theorem. Invariant subspaces. Spectral theorem for compact operators on Banach spaces and selfadjoint operators on Hilbert spaces. HilbertSchmidt operators. Semigroups. Fixedpoint theorem. Applications to differential equations and harmonic analysis.
The course will concentrate on both general theory and concrete examples. Working knowledge of measure and integral is expected.
Recommended (optional) texts:
 Lax, P.D. (2002). Functional Analysis, Wiley.
 Reed, M., & Simon, B. (1972). Functional Analysis, Academic Press.
 Conway, J.B. (1985). A Course in Functional Analysis, Springer.

MATHGA.2650001 Advanced Topics In Analysis: Introduction To Ergodic Theory
3 Points, Wednesdays, 3:205:10PM, LaiSang Young
This course is an introduction to ergodic theory, a probabilistic approach to dynamical systems. No prior knowledge of the subject is assumed, and the material will be on a very basic level useful to many areas of mathematics. I will start with a purely measuretheoretic version of the theory. Topics include ergodicity, Ergodic Theorems, mixing, and entropy. This will be followed by the ergodic theory of continuous maps. Topics include the space of invariant measures (for maps or differential equations) and topological analogs of measuretheoretic concepts. The last topic is on differentiable maps. Topics include Lyapunov exponents (describing the growth of derivatives) and results related to Lebesgue measure. Notes on lectures will be handed out.
Prerequisites:
Real analysis at the graduate level.
Recommended Text:
Walters, P. (2000). Graduate Texts in Mathematics [Series, Bk. 79].An Introduction to Ergodic Theory. New York, NY: SpringerVerlag.

MATHGA.2701001 Methods Of Applied Math
3 Points, Mondays, 1:253:15PM, Dimitris Giannakis
Prerequisites:
Elementary linear algebra and differential equations.
Description:
This is a firstyear course for all incoming PhD and Masters students interested in pursuing research in applied mathematics. It provides a concise and selfcontained introduction to advanced mathematical methods, especially in the asymptotic analysis of differential equations. Topics include scaling, perturbation methods, multiscale asymptotics, transform methods, geometric wave theory, and calculus of variations
Recommended Texts:
 Barenblatt, G.I. (1996). Cambridge Texts in Applied Mathematics [Series, Bk. 14]. Scaling, Selfsimilarity, and Intermediate Asymptotics: Dimensional Analysis and Intermediate Asymptotics. New York, NY: Cambridge University Press.
 Hinch, E.J. (1991). Cambridge Texts in Applied Mathematics [Series, Bk. 6]. Perturbation Methods. New York, NY: Cambridge University Press.
 Bender, C.M., & Orszag, S.A. (1999). Advanced Mathematical Methods for Scientists and Engineers [Series, Vol. 1]. Asymptotic Methods and Perturbation Theory. New York, NY: SpringerVerlag.
 Whitham, G.B. (1999). Pure and Applied Mathematics: A Wiley Series of Texts, Monographs and Tracts [Series Bk. 42]. Linear and Nonlinear Waves (Reprint ed.). New York, NY: John Wiley & Sons/ WileyInterscience.
 Gelfand, I.M., & Fomin, S.V. (2000). Calculus of Variations. Mineola, NY: Dover Publications.

MATHGA.2702001 Fluid Dynamics
3 Points, Wednesdays, 1:253:15PM, Antoine Cerfon
Prerequisites:
Introductory complex variable and partial differential equations.
Description:
The course will expose students to basic fluid dynamics from a mathematical and physical perspectives, covering both compressible and incompressible flows. Topics: conservation of mass, momentum, and Energy. Eulerian and Lagrangian formulations. Basic theory of inviscid incompressible and compressible fluids, including the formation of shock waves. Kinematics and dynamics of vorticity and circulation. Special solutions to the Euler equations: potential flows, rotational flows, irrotational flows and conformal mapping methods. The NavierStokes equations, boundary conditions, boundary layer theory. The Stokes Equations.
Text:
Childress, S. Courant Lecture Notes in Mathematics [Series, Bk. 19]. An Introduction to Theoretical Fluid Mechanics. Providence, RI: American Mathematical Society/ Courant Institute of Mathematical Sciences.
Recommended Text:
Acheson, D.J. (1990). Oxford Applied Mathematics & Computing Science Series [Series]. Elementary Fluid Dynamics. New York, NY: Oxford University Press.

MATHGA.2707001 Time Series Analysis & Statistical Arbitrage
3 Points, Mondays, 5:107:00PM, Farshid Asl and Robert Reider
Prerequisites:
Derivative Securities, Scientific Computing, Computing for Finance, and Stochastic Calculus.
Description:
The term "statistical arbitrage" covers any trading strategy that uses statistical tools and time series analysis to identify approximate arbitrage opportunities while evaluating the risks inherent in the trades (considering the transaction costs and other practical aspects). This course starts with a review of Time Series models and addresses econometric aspects of financial markets such as volatility and correlation models. We will review several stochastic volatility models and their estimation and calibration techniques as well as their applications in volatility based trading strategies. We will then focus on statistical arbitrage trading strategies based on cointegration, and review pairs trading strategies. We will present several key concepts of market microstructure, including models of market impact, which will be discussed in the context of developing strategies for optimal execution. We will also present practical constraints in trading strategies and further practical issues in simulation techniques. Finally, we will review several algorithmic trading strategies frequently used by practitioners.

MATHGA.2751001 Risk & Portfolio Management W/Econometrics
3 Points, Tuesdays, 7:109:00PM, Kenneth Winston
Prerequisites:
Univariate statistics, multivariate calculus, linear algebra, and basic computing (e.g. familiarity with MATLAB or coregistration in Computing in Finance).
Description:
A comprehensive introduction to the theory and practice of portfolio management, the central component of which is risk management. Econometric techniques are surveyed and applied to these disciplines. Topics covered include: factor and principalcomponent models, CAPM, dynamic asset pricing models, BlackLitterman, forecasting techniques and pitfalls, volatility modeling, regimeswitching models, and many facets of risk management, both theory and practice.

MATHGA.2755001 Project & Presentation
3 Points, Thursdays, 5:107:00PM, Petter Kolm
Description:
Students in the Mathematics in Finance program conduct research projects individually or in small groups under the supervision of finance professionals. The course culminates in oral and written presentations of the research results.

MATHGA.2791001 Derivative Securities
3 Points, Wednesdays, 7:109:00PM, Marco Avellaneda
Description:
An introduction to arbitragebased pricing of derivative securities. Topics include: arbitrage; riskneutral valuation; the lognormal hypothesis; binomial trees; the BlackScholes formula and applications; the BlackScholes partial differential equation; American options; onefactor interest rate models; swaps, caps, floors, swaptions, and other interestbased derivatives; credit risk and credit derivatives.

MATHGA.2792001 Continuous Time Finance
3 Points, Mondays, 7:109:00PM, Alireza Javaheri and Samim Ghamami
Prerequisites:
Derivative Securities and Stochastic Calculus, or equivalent.
Description:
This is a second course in arbitragebased pricing of derivative securities. Concerning equity and FX models: We discuss numerous approaches that are used in practice in these markets, such as the local volatility model, Heston, SABR, and stochastic local volatility. The discussion will include calibration and hedging issues and the pricing of the most common structured products.
Concerning interest rate models: We start with a thorough discussion of onefactor shortrate models (Vasicek, CIR, HullWhite) then proceed to more advanced topics such as twofactor HullWhite, forward rate models (HJM) and the LIBOR market model. Throughout, the pricing of specific payoffs will be considered and practical examples and insights will be provided. We give an introduction to inflation models.
We cover a few special topics: We provide an introduction to stochastic optimal control with applications, as well as optimal stopping time theory and its application to American options pricing. We introduce Cox default processes and discuss their applications to unilateral and bilateral CVA/DVA.

MATHGA.2803001 Fixed Income Derivatives: Models & Strategies In Practice
3 Points, Thursdays, 7:109:00PM, Amir Sadr and Leon Tatevossian
Prerequisites:
Computing in Finance (or equivalent programming skills) and Derivative Securities (familiarity with BlackScholes interest rate models).
Description:
This halfsemester class focuses on the practical workings of the fixedincome and ratesderivatives markets. The course content is motivated by a representative set of realworld trading, investment, and hedging objectives. Each situation will be examined from the ground level and its risk and reward attributes will be identified. This will enable the students to understand the link from the underlying market views to the applicable product set and the tools for managing the position once it is implemented. Common threads among products – structural or modelbased – will be emphasized. We plan on covering bonds, swaps, flow options, semiexotics, and some structured products.
A problemoriented holistic view of the ratederivatives market is a natural way to understand the line from product creation to modeling, marketing, trading, and hedging. The instructors hope to convey their intuition about both the power and limitations of models and show how sellside practitioners manage these constraints in the context of changes in market backdrop, customer demands, and trading parameters.

MATHGA.2804001 Credit Analytics: Bonds, Loans And Derivatives
3 Points, Thursdays, 7:109:00PM, Bjorn Flesaker
Prerequisites:
Derivate Securities and Computing in Finance (or equivalent familiarity with financial models and computing skills).
Description:
This halfsemester course introduces the institutional market for bonds and loans subject to default risk and develops concepts and quantitative frameworks useful for modeling the valuation and risk management of such fixed income instruments and their associated derivatives. Emphasis will be put on theoretical arbitrage restrictions on the relative value between related instruments and practical applications in hedging, especially with credit derivatives. Some attention will be paid to market convention and related terminology, both to ensure proper interpretation of market data and to prepare students for careers in the field.
We will draw on the fundamental theory of derivatives valuation in complete markets and the probabilistic representation of the associated valuation operator. As required, this will be extended to incomplete markets in the context of doubly stochastic jumpdiffusion processes. Specific models will be introduced, both as examples of the underlying theory and as tools that can be (and are) used to make trading and portfolio management decisions in real world markets.

MATHGA.2805001 Counter Party Credit: Valuation Adjustments, Capital, And Funding
3 Points, Tuesdays, 5:107:00PM, Leif Andersen
Prerequisites:
Advanced Risk Management, Derivative Securities (or equivalent familiarity with market and credit risk models), and Computing in Finance (or equivalent programming experience).
Description:
This class explores technical and regulatory aspects of counterparty credit risk, with an emphasis on model building and computational methods. The first part of the class will provide technical foundation, including the mathematical tools needed to define and compute valuation adjustments such as CVA and DVA. The second part of the class will move from pricing to regulation, with an emphasis on the computational aspects of regulatory credit risk capital under Basel 3. A variety of highly topical subjects will be discussed during the course, including: funding costs, XVA metrics, initial margin, credit risk mitigation, central clearing, and balance sheet management. Students will get to build a realistic computer system for counterparty risk management of collateralized fixed income portfolios, and will be exposed to modern frameworks for interest rate simulation and capital management.

MATHGA.2830001 Advanced Topics In Applied Math: Quantum Computation
3 Points, Mondays, 5:107:00PM, Oded Regev
Quantum computers perform computation using quantum phenomena, and are remarkably efficient in certain tasks such as factoring integer numbers. This course will be an introduction to this area. Topics include basic quantum algorithms like DeutschJozsa, Simon, and Grover, as well as Shor's celebrated factoring algorithm. We will also talk about some basic and surprising quantum information concepts like quantum entanglement, teleportation, and superdense coding, as well as the Einstein–Podolsky–Rosen paradox. The course will be of interest to students working in computer science, mathematics, or physics.
Prerequisites: A strong undergraduate background in linear algebra (e.g., NYU’s MATHUA.0140 Linear Algebra), and some familiarity with discrete probability (e.g., NYU’s MATHUA 235 Probability and Statistics). Familiarity with theory of computation (e.g., NYU’s CSCIUA.0310 Basic Algorithms) would also be useful. No background in physics is required.

MATHGA.2830002 Advanced Topics In Applied Math: Working Group In Modeling And Simulation
3 Points, Thursdays, 12:302:00PM, Aleksandar Donev and Miranda HolmesCerfon and Leif Ristroph
Description TBA 
MATHGA.2855001 Advanced Topics In Physiology: Neuronal Networks
3 Points, Wednesdays, 1:253:15PM, John Rinzel
Description TBA 
MATHGA.2901001 Basic Probability
3 Points, Wednesdays, 5:107:00PM, Richard Kleeman
Prerequisites:
Calculus through partial derivatives and multiple integrals; no previous knowledge of probability is required.
Description:
The course introduces the basic concepts and methods of probability.
Topics include: probability spaces, random variables, distributions, law of large numbers, central limit theorem, random walk, Markov chains and martingales in discrete time, and if time allows diffusion processes including Brownian motion.
Recommeded text:
Probability Essentials, by J.Jacod and P.Protter. Springer, 2004.

MATHGA.2902001 Stochastic Calculus
3 Points, Mondays, 7:109:00PM, Jonathan Goodman
Prerequisites:
MATHGA 2901 Basic Probability or equivalent.
Description:
Review of basic probability and useful tools. Bernoulli trials and random walk. Law of large numbers and central limit theorem. Conditional expectation and martingales. Brownian motion and its simplest properties. Diffusion in general: forward and backward Kolmogorov equations, stochastic differential equations and the Ito calculus. FeynmanKac and CameronMartin Formulas. Applications as time permits.
Optional Problem Session:
Thursdays, 5:307:00.
Text:
Durrett, R. (1996). Probability and Stochastics Series [Series, Bk. 6]. Stochastic Calculus: A Practical Introduction. New York, NY: CRC Press.

MATHGA.2911001 Probability: Limit Theorems I
3 Points, Tuesdays, 9:0010:50AM, Eyal Lubetzky
Prerequisites:
A first course in probability, familiarity with Lebesgue integral, or MATHGA 2430 Real Variables as mandatory corequisite.
Description:
First semester in an annual sequence of Probability Theory, aimed primarily for Ph.D. students. Topics include laws of large numbers, weak convergence, central limit theorems, conditional expectation, martingales and Markov chains.
Recommended Text:
S.R.S. Varadhan, Probability Theory (2001).

MATHGA.2931001 Advanced Topics In Probability: TBA
3 Points, Mondays, Wednesdays, 1:253:15PM, Ofer Zeitouni
Description:
This course will provide a fastpaced introduction to the theory and techniques of large deviations. We will cover general principles (definitions, contractions, projective limits, control representation) as well as more specific applications (Cramer and Sanov theorem, empirical measures and processes for Markov processes, FreidlinWentzell theory).
Recommended Texts:
Texts which to a large extent overlap the material covered in the course are:
 DemboZeitouni, Large Deviation Techniques and Applications
 DeuschelStroock, Large Deviations
 DupuisEllis, A Weak Convergence Approach to Large Deviations

MATHGA.3001001 Geophysical Fluid Dynamics
3 Points, Tuesdays, 9:0010:50AM, Shafer Smith
Description:
This course serves as an introduction to the fundamentals of geophysical fluid dynamics. No prior knowledge of fluid dynamics will be assumed, but the course will move quickly into the subtopic of rapidly rotating, stratified flows. Topics to be covered include (but are not limited to): the advective derivative, momentum conservation and continuity, the rotating NavierStokes equations and nondimensional parameters, equations of state and thermodynamics of Newtonian fluids, atmospheric and oceanic basic states, the fundamental balances (thermal wind, geostrophic and hydrostatic), the rotating shallow water model, vorticity and potential vorticity, inertiagravity waves, geostrophic adjustment, the quasigeostrophic approximation and other smallRossby number limits, Rossby waves, baroclinic and barotropic instabilities, Rayleigh and CharneyStern theorems, geostrophic turbulence. Students will be assigned biweekly homework assignments and some computer exercises, and will be expected to complete a final project. This course will be supplemented with outofclass instruction.
Recommended Texts:
 Vallis, G.K. (2006). Atmospheric and Oceanic Fluid Dynamics: Fundamentals and Largescale Circulation. New York, NY: Cambridge University Press.
 Salmon, R. (1998). Lectures on Geophysical Fluid Dynamics. New York, NY: Oxford University Press.
 Pedlosky, J. (1992). Geophysical Fluid Dynamics (2nd ed.). New York, NY: SpringerVerlag.

MATHGA.3010001 Advanced Topics In AOS: Climate Dynamics
3 Points, Mondays, 3:205:10PM, Olivier Pauluis
Description TBA 
MATHGA.3010002 Advanced Topics In AOS: Seminar In AOS
3 Points, Fridays, 3:455:00PM, Edwin Gerber and Dimitris Giannakis
Description TBA 
MATHGA.3010003 Advanced Topics In AOS: Idealized Modeling Approaches to Fundamental Problems in AOFD
3 Points, Thursdays, 3:205:10PM, Shafer Smith and Olivier Pauluis
Abstract:
This course will be arranged around a set of papers that emphasize the use of idealized numerical models to investigate phenomena in planetary atmospheres and oceans. Students will lead the discussion of papers, develop models in Python/Matlab/Julia to reproduce some of the paper results, and ideally explore new research directions. The course will be centered on four broad themes that span oceanic and atmospheric problems: (1) Geostrophic turbulence; (2) Stirring of passive and active tracers (e.g. atmospheric moisture); (3) Frontogenesis (atmospheric storm fronts and submesoscale ocean fronts) ; (4) Vortex formation and hurricane dynamics.
Prerequisites:
Geophysical Fluid Dynamics (MATHGA 3001)

MATHGA.3010004 Advanced Topics In AOS: Wave Turbulence in Fluid Dynamics
3 Points, Tuesdays, 1:253:15PM, Oliver Buhler
Wave Turbulence (WT) is a recent theory for the statistics of collective interactions of smallamplitude dispersive waves over long, amplitudedependent time scales. Over such long time scales significant energy transfers across spatial scales can occur, which means that waves with scales very different from the forcing scales can be excited this way. This makes WT relevant to the life cycle of surface waves at the ocean surface, for example, or to the energy budget of internal waves deep in the ocean interior.
This graduate class will explore the subject from a fluiddynamical perspective, although much of the theory applies generically to other physical systems. Ideal prerequisites will be a solid grounding in differential equations, fluid dynamics, and some experience with perturbation methods. However, fluid dynamics is not strictly required, as the we will develop the mathematical tools as needed. Assessment will be by homework and a course project.
Topics will include: linear dispersive waves dynamics, weakly nonlinear interactions, resonance, triads and quartets, conservation laws, classification of interactions, derivation of statistical theory and interaction integrals. Applications to surface waves, internal waves, Rossby waves are planned, plus others based on interest.