Course Descriptions
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MA-GY.6213-I Elemnts Of Real Analy I
3 Points, Tuesdays, 5:00-7:30PM, Gaoyong Zhang
Description TBA -
MA-GY.6973-A Computational Statistics
3 Points, Wednesdays, 5:00-7:30PM, TBA
Description TBA -
MA-GY.7033-I Linear Algebra I
3 Points, Thursdays, 5:00-7:30PM, TBA
Description TBA -
MATH-GA.1234-001 Cryptocurrency And Blockchains: Mathematics And Technologies
1.5 Points, Thursdays, 7:10-9:00PM, Amir Sadr and Petter Kolm
Prerequisites: Multivariate calculus and calculus-based probability. Students should have completed Computing in Finance (MATH-GA-2401) or equivalent, have strong coding skills in Python, and working experience with the Python stack (numpy/pandas/scikit-learn).
Description: This half-semester course examines the building technologies and concepts in distributed ledger technologies and the workings of crypto financial markets.
We begin by an overview of the traditional central banking system and the mechanics of central bank money and commercial bank lending as the two dominant mechanisms of money creation. We explore the current network of banking in traditional finance (TradFi) and its hierarchy of commercial banks, central banks, correspondent banks, settlement and clearing mechanism, and the instruments used to create and transmit money.
We cover the principles of private and public key cryptography and its usage in encryption, digital signature, and message authentication. Hash functions serve as one-way functions that play a prominent role in creating message digests and solving the cryptographic puzzle in proof-of-work-based blockchains. We cover the main challenges of secure communication and typical attacks such as replay, man-in-the-middle, Sybil attacks and the cryptographic techniques used to tackle them.
Next, we take a deep-dive in the original Bitcoin whitepaper and show how the integration of cryptographic digital signatures, recursive blockchains, hash-based proof-of-work consensus mechanism to solve the 51% attack, and double-spend problem gave rise to the pioneering Bitcoin blockchain.
The Ethereum blockchain and its smart contracts have given rise to a variety of distributed apps (dApps), prominent among them decentralized exchanges (DEX) using constant function demand curves for creating automatic market-making. We cover the mechanics of these markets and concepts of swapping, liquidity pairs, yield farming and the general landscape of decentralized finance (DeFi).
Blockchain data is public by design and there is a wealth of real-time and historical data. We discuss some of the data analysis and machine learning methods utilized to analyze this type of data.
Given that blockchain is a software protocol, it is important that students taking this course have strong coding skills in Python and working experience with the Python stack (numpy/pandas/scikit-learn).
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MATH-GA.1410-001 Introduction To Math Analysis I
3 Points, Mondays, 5:10-7:00PM, Jonathan Jonathan Niles-Weed
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.
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MATH-GA.1410-002 Intro To Math Analysis I Recitation
3 Points, Mondays, 7:10-8:25PM, TBA
Description TBA -
MATH-GA.2010-001 Numerical Methods I
3 Points, Mondays, 5:10-7:00PM, Benjamin Peherstorfer
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 two-course 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 in-class final. Topics covered in the class include floating-point 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.
Recommended Text (Springer books are available online from the NYU network):
- Deuflhard, P. & Hohmann, A. (2003). Numerical Analysis in Modern Scientific Computing. Texts in Applied Mathematiks [Series, Bk. 43]. New York, NY: Springer-Verlag.
Further Reading (available on reserve at the Courant Library):
- Bau III, D., & Trefethen, L.N. (1997). Numerical Linear Algebra. Philadelphia, PA: Society for Industrial & Applied Mathematics.Quarteroni, A., Sacco, R., & Saleri, F. (2006). Numerical Mathematics (2nd ed.). Texts in Applied Mathematics [Series, Bk. 37]. New York, NY: Springer-Verlag.
If you want to brush up your MATLAB:
- Gander, W., Gander, M.J., & Kwok, F. (2014). Scientific Computing – An Introduction Using Maple and MATLAB. Texts in Computation Science and Engineering [Series, Vol. 11]. New York, NY: Springer-Verlag.
- Moler, C. (2004). Numerical Computing with Matlab. SIAM. Available online.
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MATH-GA.2011-002 Advanced Topics In Numerical Analysis: Computational Methods For PDE
3 Points, Tuesdays, 11:00-12:50PM, Aleksandar Donev and Georg Stadler
Prerequisites: a graduate-level PDE course, Numerical Methods II (or equivalent, with approval of syllabus by instructor(s)), and programming experience.
Description: This course follows on Numerical Methods II and covers theoretical and practical aspects of advanced computational methods for the numerical solution of partial differential equations. The first part will focus on finite element methods (FEMs), and the second part on finite volume methods (FVMs) including discontinuous Galerkin (FE+FV) methods. In addition to setting up the numerical and functional analysis theory behind these methods, the course will also illustrate how these methods can be implemented and used in practice for solving partial differential equations in two and three dimensions. Example PDEs will include the Poisson equation, linear elasticity, advection-diffusion(-reaction) equations, the shallow-water equations, the incompressible Navier-Stokes equation, and others if time permits. Students will complete a final project that includes using, developing, and/or implementing state-of-the-art solvers.
In the Fall of 2023, Georg Stadler will teach the first half of this course and cover FEMs, and Aleks Donev will teach in the second half of the course and cover FVMs.
Literature:
- Elman, Silvester, and Wathen: Finite Elements and Fast Iterative Solvers, Oxford University Press, 2014.
- Farrell: Finite Element Methods for PDEs, lecture notes, 2021.
- Hundsdorfer & Verwer: Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations, Springer-Verlag, 2003.
- Leveque: Finite Volume Methods for Hyperbolic Problems, Cambridge Press, 2002.
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MATH-GA.2011-003 Advanced Topics In Numerical Analysis: Monte Carlo Methods
3 Points, Tuesdays, 1:25-3:15PM, Jonathan Goodman and Jonathan Weare
Description TBA -
MATH-GA.2041-001 Computing In Finance
3 Points, Thursdays, 7:10-9:00PM, Lee Maclin
Prerequisites: Procedural programming, some knowledge of Java recommended.
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 object-oriented 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. -
MATH-GA.2043-001 Scientific Computing
3 Points, Thursdays, 5:10-7:00PM, Georg Stadler
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 well-conditioned 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 linear-algebra; 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: Springer-Verlag
- Otto, S.R., & Denier, J.P. (2005). An Introduction to Programming and Numerical Methods in MATLAB. London: Springer-Verlag London
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MATH-GA.2046-001 Advanced Statistical Inference And Machine Learning
3 Points, Wednesdays, 5:10-7:00PM, Gordon Ritter
Prerequisites: The following four courses, or equivalent: (1) Data Science and Data-Driven Modeling, (2) Financial Securities and Markets, (3) Machine Learning & Computational Statistics, and (4) Risk and Portfolio Management. It is important you have experience with the Python stack.
Description: A rigorous background in Bayesian statistics geared towards applications in finance. The early part of the course will cover the Bayesian approach to modeling, inference, point estimation, and forecasting, sufficient statistics, exponential families and conjugate priors, and the posterior predictive density. We will then undertake a detailed treatment of multivariate regression including Bayesian regression, variable selection techniques, multilevel/hierarchical regression models, and generalized linear models (GLMs). We will continue to discuss Bayesian networks and belief propagation with applications to machine learning and prediction tasks. Solution techniques include Markov Chain Monte Carlo methods, Gibbs Sampling, the EM algorithm, and variational mean field theory. We shall then introduce reinforcement learning with applications to transaction cost minimization and realistic optimal hedging of derivatives. Real world examples will be given throughout the course, including portfolio optimization with transaction costs, and a selection of the most important prediction tasks arising in buy-side quant trading. -
MATH-GA.2047-001 Trends In Financial Data Science
3 Points, Tuesdays, 7:10-9:00PM, Petter Kolm and Ivailo Dimov
Prerequisites: The following four courses, or equivalent: (1) Data Science and Data-Driven Modeling, (2) Financial Securities and Markets, (3) Machine Learning & Computational Statistics, and (4) Risk and Portfolio Management. It is important you have experience with the Python stack.
Course description: This is a full semester course covering recent and relevant topics in alternative data, machine learning and data science relevant to financial modeling and quantitative finance. This is an advanced course that is suitable for students who have taken the more basic graduate machine learning and finance courses Data Science and Data-Driven Modeling, and Machine Learning & Computational Statistics, Financial Securities and Markets, and Risk and Portfolio Management.
For the syllabus for the course, click HERE.
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MATH-GA.2049-001 Alternative Data In Quantitative Finance (2nd Half Of Semester)
3 Points, Thursdays, 7:10-9:00PM, Gene Ekster
Prerequisites: Risk and Portfolio Management; and Computing in Finance. In addition, students should have a working knowledge of statistics, finance, and basic machine learning. Students should have working experience with the Python stack (numpy/pandas/scikit-learn).
Description: This half-semester elective course examines techniques dealing with the challenges of the alternative data ecosystem in quantitative and fundamental investment processes. We will address the quantitative tools and technique for alternative data including identifier mapping, stable panel creation, dataset evaluation and sensitive information extraction. We will go through the quantitative process of transferring raw data into investment data and tradable signals using text mining, time series analysis and machine learning. It is important that students taking this course have working experience with Python Stack. We will analyze real-world datasets and model them in Python using techniques from statistics, quantitative finance and machine learning. -
MATH-GA.2070-001 Data Science And Data-Driven Modeling (1st Half Of Semester)
1.5 Points, Tuesdays, 7:10-9:00PM, Christos Koutsoyannis
Description: This is a half-semester course covering practical aspects of econometrics/statistics and data science/machine learning in an integrated and unified way as they are applied in the financial industry. We examine statistical inference for linear models, supervised learning (Lasso, ridge and elastic-net), and unsupervised learning (PCA- and SVD-based) machine learning techniques, applying these to solve common problems in finance. In addition, we cover model selection via cross-validation; manipulating, merging and cleaning large datasets in Python; and web-scraping of publicly available data.
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MATH-GA.2110-001 Linear Algebra I
3 Points, Tuesdays, 5:10-7:00PM, Sinan Gunturk
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, Cayley-Hamilton theorem. Diagonalization.
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MATH-GA.2111-001 Linear Algebra (One-Term)
3 Points, Thursdays, 9:00-10:50AM, Percy Deift
Prerequisites: Undergraduate linear algebra.
Description: Linear algebra is two things in one: a general methodology for solving linear systems, and an abstract structure underlying much of mathematics and the sciences. The course will assume that students have already had a course on linear algebra, and will be more advanced, focusing on analytical issues such as the behavior of eigenvalues
and eigenfunctions.Recommended Text: Strang, G. (2005). Linear Algebra and Its Applications (4th ed.). Stamford, CT: Cengage Learning. Lax, P.D. (2007). Pure and Applied Mathematics: A Wiley Series of Texts, Monographs and Tracts [Series, Bk. 78].
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MATH-GA.2130-001 Algebra I
3 Points, Tuesdays, 1:25-3:15PM, Fedor Bogomolov
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 Alagebra [Series]. Algebra (2nd ed.). Upper Saddle River, NJ: Pearson
- Chambert-Loir, A. (2004). Undergraduate Texts in Mathematics [Series]. A Field Guide to Algebra (2005 ed.). New York, NY: Springer-Verlag
- Serre, J-P. (1996). Graduate Texts in Mathematics [Series, Vol. 7]. A Course in Arithmetic (Corr. 3rd printing 1996 ed.). New York, NY: Springer-Verlag
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MATH-GA.2310-001 Topology I
3 Points, Mondays, Wednesdays, 9:30-10:45AM, Bruce Kleiner
Prerequisites: Undergraduate analysis and algebra at the level of MATH-UA 325 Analysis and MATH-UA 343 Algebra are strongly recommended. Undergraduate students planning to take this course must have MATH-UA 343 Algebra and MATH-UA 325 Analysis (or the respective Honors versions) or permission of the Department.
Course Description: After introducing metric spaces and 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, and homotopy. Additional material may be covered at the discretion of the instructor, such as degree theory, transversality and intersection theory, and examples from knot theory.
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MATH-GA.2350-001 Differential Geometry I
3 Points, Mondays, Wednesdays, 2:00-3:15PM, 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.
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MATH-GA.2400-001 Advanced Topics In Geometry: Introduction To The H-Principle: Direct Construction Of Solutions Of Non-Linear PDE
3 Points, Mondays, 3:20-5:05PM, Mikhael Gromov
Background on analysis on manifolds, convex integration, including Nash C^1 -isometric immersion theorem, De Lellis-Székelyhidi construction of weak solutions of the Euler equation and the generalized Nash implicit function theorem with applications.
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MATH-GA.2400-002 Advanced Topics In Geometry: Isoperimetric Inequalities In Geometry, Analysis And The Probability Theory
3 Points, Thursdays, 1:25-3:15PM, Mikhael Gromov
Several methods for the proofs of the classical isoperimetric inequality and its generalizations including Federer-Fleming inequality, Almgren’s Sharp Inequality, Gaussian isoperimetric inequality, the Brunn-Minkowski and Alexandrov-Fenchel inequalities, Poincare -Sobolev inequalities, Shannon, Loomis-Whitney and Rodgers-Brascamp-Lieb inequalities, general concentration of measure theorems and probabilistic construction of expanders and related spaces.
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MATH-GA.2420-001 Advanced Topics Mathematics: Working Group In Modeling And Simulation
1.5 Points, Thursdays, 12:30-1:45PM, TDB TDB and TDB TDB and TDB TDB
Description: As part of our new NSF research training group (RTG) in Modeling & Simulation, we will be organizing a lunchtime group meeting for students, postdocs, and faculty working in applied mathematics who do modeling & simulation. The aim is to create a space to discuss applied mathematics research in an informal setting: to (a) give students and postdocs a chance to present their research (or a topic of common interest) and get feedback from the group, (b) learn about other ongoing and future research activities in applied math at the Institute, and (c) discuss important open problems and research challenges.
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MATH-GA.2420-002 Advanced Topics: Seminar In AOS
1.5 Points, Fridays, 3:45-5:00PM, TDB TDB and TDB TDB and TDB TDB
Description TBA -
MATH-GA.2420-003 Advanced Topics: Recent Developments For The Incompressible Euler And Naiver-Stokes Equations (1st Half Of Semester)
1.5 Points, Tuesdays, 9:00-10:50AM, Vlad Vicol
Description: This class is a continuation of MATH-GA.2420-007 Advanced Topics In PDE: The Mathematical Analysis of The Euler And Navier-Stokes Equation, taught during the Spring 2023 semester. The goal is to discuss recent developments concerning these PDEs including the Kato criterion for the vanishing viscosity limit on bounded domains, the infinite time growth of the vorticity for 2D Euler in domains with boundaries, ruling out backward self-similar finite-time singularities in 3D Navier-Stokes, the Jia-Sverak program concerning non-uniqueness of Leray-Hopf weak solutions, the Onsager conjecture.
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MATH-GA.2420-005 Advanced Topics: Discrete Probabilistic Methods (1st Half Of Semester)
1.5 Points, Tuesdays, 3:20-5:05PM, Jinyoung Park
Description: This is an advanced graduate class on discrete probabilistic methods. Familiarity with undergraduate-level of probability and combinatorics will be assumed. For the first couple of weeks, we will cover basic techniques based on the following references:
- Alon, Spencer, The Probabilistic Method
- Janson, Ćuczak, Rucinski, Random Graphs
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MATH-GA.2430-001 Real Variables I
3 Points, Mondays, Wednesdays, 9:30-10:45AM, Gerard Ben Arous
Note: Master's students need permission of course instructor before registering for this course.
Prerequisites: A familiarity with rigorous mathematics, proof writing, and the epsilon-delta approach to analysis, preferably at the level of MATH-GA 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 Radon-Nikodym theorem. Product measures, the Fubini theorem, etc. Lp 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
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MATH-GA.2450-001 Complex Variables I
3 Points, Thursdays, 9:00-10:50AM, Chao Li
Prerequisites: Advanced calculus (or equivalent).
Description: Complex numbers; analytic functions; Cauchy-Riemann equations; Cauchy's theorem; Laurent expansion; analytic continuation; calculus of residues; conformal mappings.
Text: Marsden and Hoffman, Basic Complex Analysis, 3d edition
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MATH-GA.2451-001 Complex Variables (One-Term)
3 Points, Tuesdays, Thursdays, 2:00-3:15PM, Raghu Varadhan
Note: Master's students need permission of course instructor before registering for this course.
Prerequisites: Complex Variables I (or equivalent) and MATH-GA 1410 Introduction to Math Analysis I.
Description: Complex numbers, the complex plane. Power series, differentiability of convergent power series. Cauchy-Riemann 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 Mittag-Leffler 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 (4thin ed.). New York, NY: McGraw-Hill.
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MATH-GA.2490-001 Introduction To Partial Differential Equations
3 Points, Mondays, Wednesdays, 2:00-3:15PM, Scott Armstrong
Overview of the course: The plan is to cover the transport equation, the method of char-
acteristics, and the fundamental second order PDEs: the wave, Laplace and heat equations. Time permitting we will discuss: transform methods, Sobolev spaces, weak solutions, and some nonlinear PDEs.Textbook: Evans, L.C. Partial Differential Equations (2nd ed), 2010. Graduate Studies in
Mathematics. Providence, RI: American Mathematical Society. -
MATH-GA.2510-001 Advanced Partial Differential Equations
3 Points, TDB TDB and TDB TDB and TDB TDB
Description TBA -
MATH-GA.2563-001 Harmonic Analysis
3 Points, TDB TDB and TDB TDB and TDB TDB
Description TBA -
MATH-GA.2650-002 Advanced Topics In Analysis: Introduction To Ergodic Theory
3 Points, Thursdays, 1:25-3:15PM, Lai-Sang Young
Prerequisites: Real analysis at the graduate level.Description: This course is an introduction to ergodic theory, a probabilistic approach to dynamical systems. No prior knowledge of the subject is assumed. Topics include ergodicity, the Ergodic Theorems, mixing properties, entropy; ergodic theory of continuous and differentiable maps including Lyapunov exponents. Class notes will be made available in advance, and students are expected to go over the material beforehand so more class time can be devoted to discussion.
Recommended Text: Walters, P. (2000). Graduate Texts in Mathematics [Series, Bk. 79]. An Introduction to Ergodic Theory. New York, NY: Springer-Verlag.
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MATH-GA.2650-003 Advanced Topics In Analysis: Aanlysis And Applications Of Harmonic Maps
3 Points, Tuesdays, 11:00-12:50PM, Fanghua Lin
Description: This is a special topics course in Analysis/PDEs. We shall discuss mainly the analytic aspect of the theory of harmonic maps, in particular, the energy minimizing, energy stationary and weakly harmonic maps and the related regularity (partial regularity) theory. We shall also study of the singular sets of such maps, and also discuss the associated gradient and other type flows. Applications and related theory of liquid crystals and Ginzburg-Landau approximations will be also addressed. This is a Full semester course.
Main References: F.H.Lin and C.Y.Wang: Analysis of Harmonic Maps and its Gradient Flows. World Scientific Publ. Company. Other references and research papers (monographs) will be added later on.
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MATH-GA.2701-001 Methods Of Applied Math
3 Points, Mondays, Wednesdays, 11:00-12:15PM, Oliver Buhler
Prerequisites: Undergraduate Linear Algebra and ODE. Also,
PDE strongly recommended.
There is no assigned textbook for the course, but this book contains a
fair cross-section of topics: MH Holmes, Introduction to Perturbation Methods, Springer, 2nd edition 2013. Free download
from NYU via SpringerLink
Syllabus:
Regular and singular perturbations of algebraic equations, asymptotic expansions,
integral asymptotics. Dimensional analysis, scaling. Method of multiple scales for ODEs, averaging, WKB
solution, Kapitza’s pendulum. Similarity solutions for PDEs. Matched asymptotic expansions, boundary layers,
matching rules.
Green’s function asymptotics, near-field, far-field, and multipole expansions.
Fourier methods for dispersive PDEs, group velocity, stationary phase asymptotics.
Geometric wave theory, eikonal and transport equations, ray tracing for inhomogeneous
media, caustics. Possible additional topics: homogenization theory, Gaussian random functions, stochastic processes.Asymptotic and exact solution to a dispersive PDE
Prerequisites: elementary linear algebra and differential
equations.This is a first-year graduate course for all incoming PhD and
Master students interested in pursuing research in Applied
Mathematics.This course provides a concise and self-contained introduction to advanced
mathematical methods, especially in the asymptotic analysis of differential
equations. Topics include scaling, perturbation methods, multi-scale
asymptotics, Fourier transform methods, geometric wave theory, and calculus
of variations.Grading: this course will be graded as a regular course with a grad
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MATH-GA.2702-001 Fluid Dynamics
3 Points, Wednesdays, 1:25-3:15PM, Esteban Tabak
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 Navier-Stokes 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.
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MATH-GA.2707-001 Time Series Analysis & Statistical Arbitrage
3 Points, Mondays, 5:10-7:00PM, Farshid Asl and Robert Reider
Prerequisites: Financial Securities and Markets; Scientific Computing in Finance (or Scientific Computing); and familiarity with basic probability.
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. -
MATH-GA.2751-001 Risk & Portfolio Management
3 Points, Wednesdays, 5:10-7:00PM, Kenneth Winston
Prerequisites: Multivariate calculus, linear algebra, and calculus-based probability.
Description: Risk management is arguably one of the most important tools for managing investment portfolios and trading books and quantifying the effects of leverage and diversification (or lack thereof).
This course is an introduction to portfolio and risk management techniques for portfolios of (i) equities, delta-1 securities, and futures and (ii) basic fixed income securities.
A systematic approach to the subject is adopted, based on selection of risk factors, econometric analysis, extreme-value theory for tail estimation, correlation analysis, and copulas to estimate joint factor distributions. We will cover the construction of risk measures (e.g. VaR and Expected Shortfall) and portfolios (e.g. portfolio optimization and risk). As part of the course, we review current risk models and practices used by large financial institutions.
It is important that students taking this course have good working knowledge of multivariate calculus, linear algebra and calculus-based probability. -
MATH-GA.2755-001 Project & Presentation
3 Points, Thursdays, 5:10-7:00PM, 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.
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MATH-GA.2791-001 Financial Securities And Markets
3 Points, Wednesdays, 7:10-9:00PM, Alireza Javeheri
Prerequisites: Multivariate calculus, linear algebra, and calculus-based probability.
Description: This course provides a quantitative introduction to financial securities for students who are aspiring to careers in the financial industry. We study how securities traded, priced and hedged in the financial markets. Topics include: arbitrage; risk-neutral valuation; the log-normal hypothesis; binomial trees; the Black-Scholes formula and applications; the Black-Scholes partial differential equation; American options; one-factor interest rate models; swaps, caps, floors, swaptions, and other interest-based derivatives; credit risk and credit derivatives; clearing; valuation adjustment and capital requirements. It is important that students taking this course have good working knowledge of multivariate calculus, linear algebra and calculus-based probability.
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MATH-GA.2793-001 Dynamic Asset Pricing (2nd Half Of Semester)
1.5 Points, Mondays, 7:10-9:00PM, Samim Ghamami
Prerequisites: Calculus-based probability, Stochastic Calculus, and a one semester course on derivative pricing (such as what is covered in Financial Securities and Markets).
Course Description: This is an advanced course on asset pricing and trading of derivative securities. Using tools and techniques from stochastic calculus, we cover (1) Black-Scholes-Merton option pricing; (2) the martingale approach to arbitrage pricing; (3) incomplete markets; and (4) the general option pricing formula using the change of numeraire technique. As an important example of incomplete markets, we discuss bond markets, interest rates and basic term-structure models such as Vasicek and Hull-White. It is important that students taking this course have good working knowledge of calculus-based probability and stochastic calculus. Students should also have taken the course “Financial Securities and Markets” previously. In addition, we recommend an intermediate course on mathematical statistics or engineering statistics as an optional prerequisite for this class.
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MATH-GA.2803-001 Fixed Income Derivatives: Models & Strategies In Practice (1st Half Of Semester)
1.5 Points, Mondays, 7:10-9:00PM, Leon Tatevossian
Description TBA -
MATH-GA.2805-001 Trends In Sell-Side Modeling: Xva, Capital And Credit Derivatives
3 Points, Tuesdays, 5:10-7:00PM, Leif Andersen and Irena Khrebtova
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Prerequisites: Advanced Risk Management; Financial Securities and Markets, 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.
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MATH-GA.2830-001 Advanced Topics In Applied Math: Theory Of Deep Learning
3 Points, Thursdays, 3:20-5:05PM, Arthur Jacot
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Prerequisites: Familiarity with the foundational mathematical tools of finance; basic understanding of the motivation for and the machinery of pricing models in the interest-rate domain; programming skills; basic proficiency in Excel. Some product knowledge of interest-rate products is helpful but not required.
Description: Armed with a foundation in bond math and the theory and implementation of interest-rate models, many fixed-income quants are challenged to understand how these concepts and tools are deployed in the sales/trading environment. Often the economic content of a simple trade idea gets obscured by market jargon, especially in a competitive transactional environment. The class will focus on the practical workings of the fixed-income and rates-derivatives markets.The content is motivated by a representative set of real-world trading, investment, and hedging objectives. Each situation will be examined from the ground level; risk and reward attributes will be identified. This strategy will reinforce the link from underlying market views to the applicable product set and to the tools for managing the position. Common threads among products – structural or model-based – will be emphasized. We plan on covering bonds, swaps, flow options, semi-exotics, and some structured products.
This problem-oriented holistic view is a productive way to understand the line from product creation to modeling, marketing, trading, and hedging. We hope to convey intuition about both the power and limitations of models. How do sell-side practitioners manage the various constraints and imperfections in the context of changing market backdrops and customer demands?
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MATH-GA.2830-004 Advanced Topics In Applied Math: Mathematical Statistics
3 Points, Tuesdays, 12:00-1:40PM, Jonathan Jonathan Niles-Weed
Course Prerequisites: DS-GA 1002 and DS-GA 1014, or equivalent coursesCourse Description: This course provides rigorous tools for the mathematical analysis of statistical procedures in data science. Topics include hypothesis testing, confidence sets, regression, classification, and non-parametric statistics. We will focus both on classical asymptotic theory and on modern non-asymptotic techniques and theorems suitable for data science applications. Prerequisites: linear algebra, probability, comfort with mathematical proofs.
Course Site or Syllabus: Previous iteration of the course: https://www.jonathannilesweed.com/courses/math-stats-22f/ -
MATH-GA.2830-005 Advanced Topics In Applied Math: Mathematical Statistics Lab
3 Points, Thursdays, 3:45-4:35PM, TBA
Description TBA -
MATH-GA.2901-001 Essentials Of Probability
3 Points, Mondays, Wednesdays, 3:30-4:45PM, Eric Vanden Eijnden
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.
Required text:
Probability and Random Processes, 3rd edition by G.Grimmett and D. Stirzaker, Oxford Press 2001 (Note: this is NOT the newer 4th edition).
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MATH-GA.2902-002 Stochastic Calculus Optional Problem Session
1.5 Points, Wednesdays, 5:30-7:00PM, TDB TDB and TDB TDB and TDB TDB
Description TBA -
MATH-GA.2903-001 Stochastic Calculus (2nd Half Of Semester)
3 Points, Mondays, 7:10-9:00PM, Alexey Kuptsov
Prerequisite: Multivariate calculus, linear algebra, and calculus-based probability.
Description: The goal of this half-semester course is for students to develop an understanding of the techniques of stochastic processes and stochastic calculus as it is applied in financial applications. We begin by constructing the Brownian motion (BM) and the Ito integral, studying their properties. Then we turn to Ito’s lemma and Girsanov’s theorem, covering several practical applications. Towards the end of the course, we study the linkage between SDEs and PDEs through the Feynman-Kac equation. It is important that students taking this course have good working knowledge of calculus-based probability. -
MATH-GA.2911-001 Probability Theory I
3 Points, Mondays, Wednesdays, 11:00-12:15PM, Paul Bourgade
Prerequisites: A first course in probability, familiarity with Lebesgue integral, or MATH-GA 2430 Real Variables as mandatory co-requisite.
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).
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MATH-GA.2931-001 Advanced Topics In Probability: Interface Models (Oct 19th Thru End Of Semester)
3 Points, Tuesdays, Thursdays, 9:00-10:50AM, Ofer Zeitouni
Description TBA -
MATH-GA.3001-001 Geophysical Fluid Dynamics
3 Points, Tuesdays, 9:00-10:50AM, Olivier Pauluis
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 Navier-Stokes equations and non-dimensional 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, inertia-gravity waves, geostrophic adjustment, the quasi-geostrophic approximation and other small-Rossby number limits, Rossby waves, baroclinic and barotropic instabilities, Rayleigh and Charney-Stern theorems, geostrophic turbulence. Students will be assigned bi-weekly homework assignments and some computer exercises, and will be expected to complete a final project. This course will be supplemented with out-of-class instruction.
Recommended Texts:
- Vallis, G.K. (2006). Atmospheric and Oceanic Fluid Dynamics: Fundamentals and Large-scale 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: Springer-Verlag.
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MATH-GA.3010-001 Advanced Topics In AOS: Introduction To Global Climate Change
3 Points, Mondays, 11:00-12:50PM, TDB TDB and TDB TDB and TDB TDB
Description TBA