Course Descriptions

MAGY.6213I Elemnts Of Real Analy I
3 Points, Tuesdays, 5:007:30PM, TBA
Description TBA 
MAGY.6973I Computational Statistics
3 Points, Wednesdays, 5:007:30PM, Yijun Dong
Description TBA 
MAGY.7033I Linear Algebra I
3 Points, Thursdays, 5:007:30PM, Yisong Yang
Description TBA 
MATHGA.1002001 Multivariable Analysis
3 Points, Mondays, Wednesdays, 5:006:15PM, HauTieng Wu
Description:
Linear and multilinear algebra. Differentiation and integration in several variables. Introduction to manifolds, tangent and cotangent bundle. Vector fields, differential forms, exterior derivative. curves, Integration of differential forms on a manifold, Stokes' Theorem.
Textbook:
Spivak, Calculus on Manifolds 
MATHGA.1234001 Cryptocurrency And Blockchains: Mathematics And Technologies (1st Half Of Semester)
3 Points, Thursdays, 7:109:00PM, Amir Sadr and Petter Kolm
Prerequisites: Multivariate calculus and calculusbased probability. Students should have completed Computing in Finance (MATHGA2401) or equivalent, have strong coding skills in Python, and working experience with the Python stack (numpy/pandas/scikitlearn).
Description: This halfsemester 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 oneway functions that play a prominent role in creating message digests and solving the cryptographic puzzle in proofofworkbased blockchains. We cover the main challenges of secure communication and typical attacks such as replay, maninthemiddle, Sybil attacks and the cryptographic techniques used to tackle them.
Next, we take a deepdive in the original Bitcoin whitepaper and show how the integration of cryptographic digital signatures, recursive blockchains, hashbased proofofwork consensus mechanism to solve the 51% attack, and doublespend 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 marketmaking. 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 realtime 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/scikitlearn).

MATHGA.1410001 Introduction To Math Analysis I
3 Points, Mondays, Wednesdays, 4:556:10PM, Shay Sadovsky
Description TBA 
MATHGA.2010001 Numerical Methods I
3 Points, Mondays, Wednesdays, 4:556:10PM, 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 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.
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: SpringerVerlag.
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: SpringerVerlag.
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: SpringerVerlag.
 Moler, C. (2004). Numerical Computing with Matlab. SIAM. Available online.

MATHGA.2041001 Computing In Finance
3 Points, Thursdays, 7:109:00PM, Lee Maclin
Prerequisites: Completion of a Python summer assignment and relevant selfstudy.
Description: The purpose of this course is threefold: It will teach students the popular Python programming language. Students will learn the five most important concepts of modern, objectoriented software development: testing, data structures, design, working with data, and distributed computing. All of the examples used in class will have a financial context. Projects we will work on include developing a toy exchange, building a framework for managing live price data, and tools for preparing high frequency data for simulations and backtests. Additional topics include Google’s Firebase realtime database and using Python to work with SQL. Students will make extensive use of the Anki study system to gauge their own progress and prepare for tests. Please note that students who sign up for this course should prepare by completing a summer assignment. 
MATHGA.2043001 Scientific Computing
3 Points, Tuesdays, Thursdays, 4:556:10PM, Jonathan Goodman
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

MATHGA.2046001 Advanced Statistical Inference And Machine Learning
3 Points, Wednesdays, 5:107:00PM, Gordon Ritter
Prerequisites: The following four courses, or equivalent: (1) Data Science and DataDriven 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 buyside quant trading. 
MATHGA.2047001 Trends In Financial Data Science
3 Points, Tuesdays, 7:109:00PM, Ivailo Dimov and Petter Kolm
Prerequisites: The following four courses, or equivalent: (1) Data Science and DataDriven 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 DataDriven Modeling, and Machine Learning & Computational Statistics, Financial Securities and Markets, and Risk and Portfolio Management.
For the syllabus for the course, click HERE.

MATHGA.2049001 Alternative Data In Quantitative Finance (2nd Half Of Semester)
3 Points, Thursdays, 7:109:00PM, 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/scikitlearn).
Description: This halfsemester 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 realworld datasets and model them in Python using techniques from statistics, quantitative finance and machine learning. 
MATHGA.2070001 Data Science And DataDriven Modeling (1st Half Of Semester)
3 Points, Tuesdays, 7:109:00PM, Christos Koutsoyannis
Prerequisties: Student needs to have taken math courses in multivariate calculus, linear algebra, and calculusbased probability. In addition, they need to have taken a computer science / programming course.
Description: This is a halfsemester 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 elasticnet), and unsupervised learning (PCA and SVDbased) machine learning techniques, applying these to solve common problems in finance. In addition, we cover model selection via crossvalidation; manipulating, merging and cleaning large datasets in Python; and webscraping of publicly available data.

MATHGA.2110001 Linear Algebra I
3 Points, Tuesdays, Thursdays, 4:556:10PM, Pax Kivimae
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.
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 (2nd ed.). Hoboken, NJ: John Wiley & Sons/ WileyInterscience. 
MATHGA.2111001 Linear Algebra (OneTerm)
3 Points, Mondays, Wednesdays, 2:003:15PM, Alan Kaptanoglu
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 (4^{th} ed.). Stamford, CT: Cengage Learning. Lax, P.D. (2007). Pure and Applied Mathematics: A Wiley Series of Texts, Monographs and Tracts [Series, Bk. 78].

MATHGA.2130001 Algebra I
3 Points, Mondays, Wednesdays, 3:304:45PM, 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 (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, Mondays, Wednesdays, 9:3010:45AM, Valentino Tosatti
Prerequisites: Undergraduate analysis and algebra at the level of MATHUA 325 Analysis and MATHUA 343 Algebra are strongly recommended. Undergraduate students planning to take this course must have MATHUA 343 Algebra and MATHUA 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.

MATHGA.2350001 Differential Geometry I
3 Points, Mondays, Wednesdays, 2:003:15PM, 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.

MATHGA.2400002 Advanced Topics In Geomtery: TBA
3 Points, Tuesdays, 9:0011:30AM, Mikhael Gromov
Brief Introduction to the cellular and subcellular structures
and to mathematics of macromolecules, membranes.
Several examples from bioengineering including, crispr cas9,
phage assisted continuous evolution and related mathematical problems.
Mathematics of the classical genetics, Hardy Weinberg principle and
RobbinsGeiringer convergence theorem.
Mathematical aspects of selfassembly processes including protein crystals and
protein folding.
Principles and perspective in the DNA computing.

MATHGA.2430001 Real Variables I
3 Points, Mondays, Wednesdays, 9:3010:45AM, Tristan Buckmaster
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: 'Real Analysis' by Stein and Shakarchi
Secondary Text: “Real Analysis” by Royden and Fitzpatrick

MATHGA.2450001 Complex Variables I
3 Points, Tuesdays, Thursdays, 9:3010:45AM, Deane Yang
Prerequisites: Advanced calculus (or equivalent).
Description: Complex numbers; analytic functions; CauchyRiemann equations; Cauchy's theorem; Laurent expansion; analytic continuation; calculus of residues; conformal mappings.
Text: Marsden and Hoffman, Basic Complex Analysis, 3d edition

MATHGA.2451001 Complex Variables (OneTerm)
3 Points, Tuesdays, Thursdays, 12:301:45PM, Jorge Carballo
Description TBA 
MATHGA.2490001 Introduction To Partial Differential Equations
3 Points, Mondays, Wednesdays, 2:003:15PM, Fanghua Lin
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. 
MATHGA.2650001 Advanced Topics In Analysis: The Mathematical Theory Of Waves Evolution In Fluids
3 Points, Thursdays, 1:003:30PM, Jalal Shatah
Description:
1. Surface Gravity Waves, Capillary Waves, and Interfaces Between Two Fluids: Derive
and analyze the equations governing surface gravity waves influenced by gravity and
surface tension. Examine the mathematical modeling of fluid interfaces and their
dynamics.2. KelvinHelmholtz Instability and WindGenerated Water Waves: Study the Kelvin
Helmholtz instability and its role in wave generation due to wind.3. Linear acoustics, Max cone, Caustics. Riemann Wave, Burgers Equation, Acoustic
Turbulence.4. Dispersive Waves: Linear and Weakly Nonlinear Waves, Nonlinear Schrödinger
Equation.5. The Mathematics of Wave Turbulence: Explore the mathematical theories of wave
turbulence.The course will be taught jointly by Gregory Falkovich and Jalal Shatah. Lectures will
draw on material from "Fluid Mechanics" by G. Falkovich, "Wave Turbulence" by S.
Nazarenko, and relevant research papers, providing a comprehensive and rigorous
understanding of wave dynamics in fluids. 
MATHGA.2701001 Methods Of Applied Math
3 Points, Mondays, Wednesdays, 11:0012:15PM, Alex Mogilner
Prerequisites: Undergraduate Linear Algebra and ODE. Also,
PDE strongly recommended.
There is no assigned textbook for the course, but this book contains a
fair crosssection 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, nearfield, farfield, 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 firstyear graduate course for all incoming PhD and
Master students interested in pursuing research in Applied
Mathematics.This course 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, Fourier transform methods, geometric wave theory, and calculus
of variations.Grading: this course will be graded as a regular course with a grad

MATHGA.2702001 Fluid Dynamics
3 Points, Mondays, Wednesdays, 12:301:45PM, Esteban Tabak
Description TBA 
MATHGA.2707001 Time Series Analysis & Statistical Arbitrage
3 Points, Mondays, 5:107:00PM, 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. 
MATHGA.2751001 Risk & Portfolio Management
3 Points, Wednesdays, 5:107:00PM, Kenneth Winston
Prerequisites: Multivariate calculus, linear algebra, and calculusbased 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, delta1 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, extremevalue 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 calculusbased probability. 
MATHGA.2755001 Project & Presentation
3 Points, Petter Kolm
Description TBA 
MATHGA.2791001 Financial Securities And Markets
3 Points, Wednesdays, 7:109:00PM, Bernhard Hientzsch
Prerequisites: Multivariate calculus, linear algebra, and calculusbased 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; 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; clearing; valuation adjustment and capital requirements. It is important that students taking this course have good working knowledge of multivariate calculus, linear algebra and calculusbased probability.

MATHGA.2793001 Dynamic Asset Pricing (2nd Half Of Semester)
3 Points, Mondays, 7:109:00PM, Samim Ghamami
Prerequisites: Calculusbased 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) BlackScholesMerton 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 termstructure models such as Vasicek and HullWhite. It is important that students taking this course have good working knowledge of calculusbased 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.

MATHGA.2803001 Fixed Income Derivatives: Models & Strategies In Practice (1st Half Of Semester)
3 Points, Mondays, 7:109:00PM, Leon Tatevossian
Description TBA 
MATHGA.2805001 Trends In SellSide Modeling: Xva, Capital And Credit Derivatives
3 Points, Tuesdays, 5:107:00PM, Irena Khrebtova and Leif Andersen

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.


MATHGA.2830001 Advanced Topics In Applied Math: The Immersed Boundary Method For FluidStructure Interaction
3 Points, Mondays, Wednesdays, 12:301:45PM, Charles Peskin
Prerequisite:
Familiarity with numerical methods and fluid dynamics.The immersed boundary (IB) method is a general framework for the
computer simulation of flows with immersed elastic boundaries and/or
complicated geometry. It was originally developed to study the fluid
dynamics of heart valves, and it has since been applied to a wide
variety of problems in biofluid dynamics, such as wave propagation in
the inner ear, blood clotting, swimming of creatures large and small,
and the flight of insects. Nonbiological applications include sails,
parachutes, flows of suspensions, and twofluid or multifluid
problems.Topics to be covered include: mathematical formulation of
fluidstructure interaction in Eulerian and Lagrangian variables, with
interaction equations involving the Dirac delta function;
discretization of the structure, fluid, and interaction equations,
including energybased finiteelement or finitedifference
discretization of the structure equations, finitedifference
discretization of the fluid equations, and IB delta functions with
specified mathematical properties; a simple but effective method for
adding mass to an immersed boundary; numerical simulation of rigid
immersed structures or immersed structures with rigid parts; IB
methods for immersed filaments with bend and twist; and a stochastic
IB method for thermally fluctuating hydrodynamics within biological
cells, and the direct numerical simulation of osmotic phenomena. Some
recent developments to be covered include stability analysis of the IB
method and a FourierSpectral IB method with improved boundary
resolution. The challenge of making the IB method implicit so that
larger time steps can be taken will be discussed. The IB method also
has electrical applications. Two of these that will be discussed, if
time permits, are cardiac electrophysiology and the direct numerical
simulation of ions in solution.Course requirements include homework assignments and a computing
project, but no exam. Students may collaborate on the homework and on
the computing project, and are encouraged to present the results of
their computing projects to the class.Text:
The Immersed Boundary Method. Lecture notes freely available at:
http://www.math.nyu.edu/faculty/peskin/ib_lecture_notes/index.html 
MATHGA.2830004 Advanced Topics In Applied Math: Mathematical Statistics
3 Points, Tuesdays, 12:001:40PM, Jonathan Jonathan NilesWeed
Description TBA 
MATHGA.2830005 Advanced Topics In Applied Math: Mathematical Statistics Lab
3 Points, Thursdays, 3:454:35PM, TBA
Description TBA 
MATHGA.2851001 Advanced Topics In Math Biology:
3 Points, Mondays, 9:0011:30AM, Mikhael Gromov
Description TBA 
MATHGA.2901001 Essentials Of Probability
3 Points, Mondays, Wednesdays, 3:304:45PM, Gerard Ben Arous
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).

MATHGA.2903001 Stochastic Calculus (2nd Half Of Semester)
3 Points, Mondays, 7:109:00PM, Alexey Kuptsov
Prerequisite: Multivariate calculus, linear algebra, and calculusbased probability.
Description: The goal of this halfsemester 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 FeynmanKac equation. It is important that students taking this course have good working knowledge of calculusbased probability. 
MATHGA.2911001 Probability Theory I
3 Points, Mondays, Wednesdays, 11:0012:15PM, Roland Bauerschmidt
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: Random Matrix Universality
3 Points, Tuesdays, Thursdays, 12:301:45PM, Paul Bourgade
Description TBA 
MATHGA.2931002 Advanced Topics In Probability: Motion In Random Media With And Mostly Without Reversibility (2nd Half Of Semester)
3 Points, Tuesdays, Thursdays, 3:304:45PM, Ofer Zeitouni
We will discuss aspects of the classical theory of homogenization for random walks in reversible random environments, in the context of the random conductance model on $Z^d$. Then we will focus on nonreversible random walks in random environments, mostly for for i.i.d. environments.

MATHGA.3001001 Geophysical Fluid Dynamics
3 Points, Tuesdays, Thursdays, 9:3010:45AM, Yi Zhang
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.