Course Descriptions

MAGY.6223I Elements Of Real Analysis II
3 Points, Wednesdays, 3:205:50PM, Jalal Shatah
Description TBA 
MAGY.7043I Linear Algebra II
3 Points, Tuesdays, 6:008:30PM, Yisong Yang
Description TBA 
MATHGA.1002001 Multivariable Analysis
3 Points, Mondays, 7:109:00PM, Gilles Francfort
Differentiation and integration for vectorvalued functions of one and several variables: curves, surfaces, manifolds, inverse and implicit function theorems, integration on manifolds, Stokes' theorem, applications.

MATHGA.1420001 Introduction To Math Analysis II
3 Points, Thursdays, 5:107:00PM, Gaoyong Zhang
Measure theory and Lebesgue integration on the Euclidean space. Convergence theorems. L^p spaces and Hilbert spaces. Fourier series. Introduction to abstract measure theory and integration.
Recitation: Thursdays, 7:109:00PM (following the course)
Recitation/ Problem Session: 7:10pm9:00pm (following the course in spring)

MATHGA.1420002 Introduction To Math Analysis II
3 Points, Thursdays, 7:109:00PM, TBA
Description TBA 
MATHGA.2012001 Advanced Topics In Numerical Analysis: Nonsmooth Optimization
3 Points, Mondays, 5:107:00PM, Michael Overton
Convex optimization problems have many important properties, including a powerful duality theory and the property that any local minimum is also a global minimum. Nonsmooth optimization refers to minimization of functions that are not necessarily convex, usually locally Lipschitz, and typically not differentiable at their minimizers. Topics in convex optimization that will be covered include duality, linear and semidefinite programming, CVX ("disciplined convex programming"), gradient and Newton methods, Nesterov's complexity bound, the alternating direction method of multipliers, the nuclear norm and matrix completion, the primal barrier method, primaldual interiorpoint methods for linear and semidefinite programs. Topics in nonsmooth optimization that will be covered include subgradients and subdifferentials, Clarke regularity, and algorithms, including gradient sampling and BFGS, for nonsmooth, nonconvex optimization. Homework will be assigned, both mathematical and computational. Students may submit a final project on a preapproved topic or take a written final exam.

MATHGA.2012002 Advanced Topics In Numerical Analysis: High Performance Computing
3 Points, Mondays, 1:253:15PM, Benjamin Peherstorfer
This class will be an introduction to the fundamentals of parallel scientific computing. We will establish a basic understanding of modern computer architectures (CPUs and accelerators, memory hierarchies, interconnects) and of parallel approaches to programming these machines (distributed vs. shared memory parallelism: MPI, OpenMP, OpenCL/CUDA). Issues such as load balancing, communication, and synchronization will be covered and illustrated in the context of parallel numerical algorithms. Since a prerequisite for good parallel performance is good serial performance, this aspect will also be addressed. Along the way you will be exposed to important tools for high performance computing such as debuggers, schedulers, visualization, and version control systems. This will be a handson class, with several parallel (and serial) computing assignments, in which you will explore material by yourself and try things out. There will be a larger final project at the end. You will learn some Unix in this course, if you don't know it already. Prerequisites for the course are (serial) programming experience with C/C++ (I will use C in class) or FORTRAN, and some familiarity with numerical methods.

MATHGA.2020001 Numerical Methods II
3 Points, Tuesdays, 5:107:00PM, Jonathan Goodman
Prerequisites:
Numerical Methods I or equivalent graduate course in numerical analysis (numerical linear algebra, iterative solvers, nonlinear systems, interpolation, integration), undergraduate or graduate courses in ODE and (hyperbolic, parabolic, and elliptic) PDEs
Description:
his course will cover fundamental methods that are essential for the numerical solution of differential equations. It is intended for students familiar with ODE and PDE and interested in numerical computing; computer programming assignments in MATLAB will form an essential part of the course. The course will introduce students to numerical methods for (1) ordinary differential equations, explicit and implicit RungeKutta and multistep methods, convergence and stability; (2) finite difference and finite element and integral equation methods for elliptic partial differential equations (Poisson eq.); (4) spectral methods and the FFT, exponential temporal integrators, and multigrid iterative solvers; and (5) finite difference and finite volume parabolic (diffusion/heat eq.) and hyperbolic (advection and wave) partial differential equations.
Text:
"Finite Difference Methods for Ordinary and Partial Differential Equations" by Randy LeVeque. This textbook is now available freely to you in PDF format.
Crosslisting:
CSCIGA 2421.001.

MATHGA.2048001 Scientific Computing In Finance
3 Points, Wednesdays, 5:107:00PM, Hongwei Cheng and Wujiang Lou
Prerequisites:
Risk and Portfolio Management with Econometrics, Derivative Securities, and Computing in Finance
Description:
This is a version of the course Scientific Computing (MATHGA 2043.001) designed for applications in quantitative finance. It covers software and algorithmic tools necessary to practical numerical calculation for modern quantitative finance. Specific material includes IEEE arithmetic, sources of error in scientific computing, numerical linear algebra (emphasizing PCA/SVD and conditioning), interpolation and curve building with application to bootstrapping, optimization methods, Monte Carlo methods, and the solution of differential equations.
Please Note: Students may not receive credit for both MATHGA 2043.001 and MATHGA 2048.001

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.
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.

MATHGA.2120001 Linear Algebra II
3 Points, Mondays, 5:107:00PM, TBA
Prerequisites: Linear Algebra I or permission of the instructor.
Review of: Trace, determinant, characteristic and minimal polynomial. Eigenvalues, diagonalization, spectral theorem and spectral mapping theorem. When diagonalization fails: nilpotent operators and their structure, generalized eigenspace decomposition, Jordan canonical form. Polar and singular value decomposition. Complexification and smooth surfaces in R^n and their tangent spaces. Intro to matrix Lie algebras and Lie groups.
Text:
Friedberg, S.H., Insel, A.J., and Spence, L.E. (2003). Linear Algebra (4^{th} ed.). Upper Saddle River, NJ: PrenticeHall/ Pearson Education.
Plus: Extensive instructor’s class notes.

MATHGA.2140001 Algebra II
3 Points, Tuesdays, 7:109:00PM, Liming Pang
Representations of finite groups. Characters, orthogonality of characters of irreducible representations, a ring of representations. Induced representations, Artin’s theorem, Brauer’s theorem. Representations of compact groups and the PeterWeyl theorem. Lie groups, examples of Lie groups, representations and characters of Lie group. Lie algebras associated with Lie groups. Applications of the group representations in algebra and physics. Elements of algebraic geometry.
Text:
Artin, M. (2010). Algebra (2nd ed.). Upper Saddle River, NJ: PrenticeHall/ Pearson Education.
Recommended Texts:
 Lang, S. (2005). Graduate Texts in Mathematics [Series, Bk. 211]. Algebra (3^{rd}ed.). New York, NY: SpringerVerlag.
 Serre, J.P. (1977). Graduate Texts in Mathematics [Series, Bk. 42]. Linear Representations of Finite Groups. New York, NY: SpringerVerlag.
 Reid, M. (1989). London Mathematical Society Student Texts [Series]. Undergraduate Algebraic Geometry. New York, NY: Cambridge University Press.
 James, G., & Lieback, M. (1993). Cambridge Mathematical Textbooks [Series]. Representations and Characters of Groups. New York, NY: Cambridge University Press.
 Fulton, W., Harris, J. (2008). Graduate Texts in Mathematics/Readings in Mathematics [Series, Bk. 129]. Representation Theory: A First Course (Corrected ed.). New York, NY: SpringerVerlag.
 Sagan, B.E. (1991). Wadsworth & Brooks/Cole Mathematics Series [Series]. The Symmetric Group: Representations, Combinatorial Algorithms, and Symmetric Functions. Pacific Grove, CA: Wadsworth & Brooks/Cole.
 Brocker, T., & Dieck, T. (2003). Graduate Texts in Mathematics [Series, Bk. 98]. Representations of Compact Lie Groups. New York, NY: SpringerVerlag.

MATHGA.2210001 Introduction To Number Theory I
3 Points, Wednesdays, 5:107:00PM, Margaret Bilu
Prerequisites:
Undergraduate elementary number theory, abstract algebra, including groups, rings and ideals, fields, and Galois theory (e.g. undergraduate Algebra I and II). A background in complex analysis, as well as in algebra, is required.
This graduate course will cover several analytic techniques in number theory, as well as properties of number fields and their rings of integers. Topics include: primes in arithmetic progressions, zetafunction, prime number theorem, number fields, rings of integers, Dedekind zetafunction, introduction to analytic techniques: circle method, sieves.

MATHGA.2320001 Topology II
3 Points, Mondays, 7:109:00PM, Sylvain Cappell
Homology and cohomology from simplicial, singular, cellular, axiomatic and differential form viewpoints. Axiomatic characterizations and applications to geometrical problems of embedding and fixed points. Manifolds and Poincaré duality. Products and ring structures. Vector bundles, tangent bundles, DeRham cohomology and differential forms.

MATHGA.2360001 Differential Geometry II
3 Points, Tuesdays, 1:253:15PM, Robert Ji Wai Young
Description:
Differential Geometry II will focus on Riemannian geometry. Topics to be covered may include: second variation of arc length, Rauch comparison theorem and applications, Toponogov's theorem, invariant metrics on Lie groups, Morse theory, cut locus, the sphere theorem, complete manifolds of nonnegative curvature.
Recommended Texts:
 John Milnor, Morse Theory (Princeton University Press, 1963).
 John M. Lee, Riemannian Manifolds: An Introduction to Curvature (Springer, 1997).

MATHGA.2420001 Advanced Topics In Geometry: Topics In Rriemannian Geometry (2Nd Half Of Semester)
1.5 Points, Thursdays, 1:253:15PM, Jeff Cheeger
Description:
We will sketch a sequence of developments in riemannian geometry which have taken place over roughly the last 50 years. These concern structure theories for manifolds satisfying bounds on sectional or Ricci curvature, and related theories of geometric convergence and the structure of limit spaces. The emphasis in the lectures will be on high level ideas and on providing a guide to the technical aspects of the proofs. The foundational results on Ricci curvature are proved in detail my short book "Degeneration of riemannian metrics on Ricci curvature bounds". A broader and less technical overview is given in my expository paper "Structure theory and convergence in riemannian geometry". I will make the pdf files of both of these available to people who are attending the lectures. If time permits, we will discuss recent results concerning quantitative behavior of singular sets and the proof of the codimension 4 conjecture.

MATHGA.2420002 Advanced Topics In Geometry: Quantitative Differentiability And Rectifiability (1St Half Of Semester)
1.5 Points, Thursdays, 1:253:15PM, Robert Ji Wai Young
Prerequisites: Familiarity with real analysis, complex analysis, differential geometry
Description:
Differentiability and rectifiability describe how well functions and sets can be linearly approximated at infinitesimal scales. For many problems, knowing the behavior of a set at small scales isn't enough; one needs quantitative versions of differentiability and rectifiability that bound how well functions and sets can be approximated at many different scales. Examples include singular integrals; covering sets in the plane by a curve; and the distortion of maps between metric spaces. In this course, we will study applications of quantitative differentiability and rectifiability in geometric measure theory, quantitative geometry, and harmonic analysis. Topics covered may include:
 Differentiability of Lipschitz functions
 The Analyst's Traveling Salesman Problem
 Uniform rectifiability and singular integrals
 Quasiisometries and quasiisometric rigidity
 Metric embeddings

MATHGA.2420003 Advanced Topics In Analysis: Coulomb Gas (2Nd Half Of Semester)
3 Points, Wednesdays, 11:0012:50PM, Sylvia Serfaty
Description TBA 
MATHGA.2420004 Advanced Topics In Applied Math: Working Grop In Modeling And Simulation
3 Points, Thursdays, 12:302:00PM, Aleksandar Donev and Miranda HolmesCerfon and Leif Ristroph
Description TBA 
MATHGA.2440001 Real Variables II
3 Points, Tuesdays, 3:205:10PM, Raghu Varadhan
Description TBA 
MATHGA.2460001 Complex Variables II
3 Points, Wednesdays, 5:107:00PM, Zhang,Gaoyong
Prerequisites: Complex Variables I (or equivalent).
The fundamental theorem of algebra, the argument principle; calculus of residues, Fourier transform; the Gamma and Zeta functions, product expansions; Schwarz principle of reflection and SchwarzChristoffel transformation; elliptic functions, Riemann surfaces; conformal mapping and univalent functions; maximum principle and Schwarz's lemma; the Riemann mapping theorem.
Text:
Ahlfors, L. (1979). International Series in Pure and Applied Mathematics [Series, Bk. 7]. Complex Analysis (3^{rd} ed.). New York, NY: McGrawHill.

MATHGA.2470001 Ordinary Differential Equations
3 Points, Tuesdays, 11:0012:50PM, Scott Armstrong
Prerequisites:
Undergraduate background in analysis, linear algebra and complex variables.
Description:
Existence and uniqueness of initial value problems. Linear equations. Complex analytic equations. Boundary value problems and SturmLiouville theory. Comparison theorem for second order equations. Asymptotic behavior of nonlinear systems. Perturbation theory and PoincaréBendixson theorems.
Recommended Text:
Teschl, G. (2012). Graduate Studies in Mathematics [Series, Vol. 140]. Ordinary Differential Equations and Dynamical Systems. Providence, RI: AMS Chelsea Publishing/ American Mathematical Society.

MATHGA.2500001 Partial Differential Equations
3 Points, Tuesdays, 9:0010:50AM, Robert Kohn
Prerequisites: MATHGA 2490 (Introduction to Partial Differential Equations) and MATHGA 2430 (Real Variables), or equivalent background. Masters students should consult the course instructor before registering for this class.
Undergraduate and MSlevel classes in PDE usually emphasize examples, involving solutions are more or less explicit. This course does the opposite: it emphasizes more general methods, applicable to broad classes of PDE's. Topics to be covered include: tools from analysis (Fourier transform, distributions, and Sobolev spaces, including embedding and trace theorems); linear elliptic pde (weak solutions, regularity, Fredholm alternative, symmetry and selfadjointness, completeness of eigenfunctions; maximum principles and Perron's method; boundary integral methods); selected methods for solving nonlinear elliptic pde (fixed point theorems, variational methods); parabolic and hyperbolic pde (energy methods, semigroup methods, steepestdescent pde's); viscosity solutions of firstorder equations.
Main texts:
1. L.C. Evans, Partial Differential Equations, American Mathematical Society
2. M. Renardy and R. Rogers, An Introduction to Partial Differential Equations, SpringerVerlag

MATHGA.2563001 Harmonic Analysis
3 Points, Mondays, 9:0010:50AM, Fengbo Hang
Prerequisites:
Real analysis; basic knowledge of complex variables and functional analysis.
Description:
Classical Fourier Analysis: Fourier series on the circle, Fourier transform on the Euclidean space, Introduction to Fourier transform on LCA groups. Stationary phase. Topics in real variable methods: maximal functions, Hilbert and Riesz transforms and singular integral operators. Time permitting: Introduction to LittlewoodPaley theory, timefrequency analysis, and wavelet theory.
Recommended Text:
Muscalu, C. and Schlag, W. (2013). Cambridge Studies in Advanced Mathematics[Series, Bk. 137]. Classical and Multilinear Harmonic Analysis (Vol.1). New York, NY: Cambridge University Press. (Online version available to NYU users through Cambridge University Press.

MATHGA.2704001 Applied Stochastic Analysis
3 Points, Thursdays, 9:0010:50AM, Eric Vanden Eijnden
Prerequisites:
Basic Probability (or equivalent masterslevel probability course), Linear Algebra (graduate course), and (beginning graduatelevel) knowledge of ODEs, PDEs, and analysis.
Description:
This is a graduate class that will introduce the major topics in stochastic analysis from an applied mathematics perspective. Topics to be covered include Markov chains, stochastic processes, stochastic differential equations, numerical algorithms, and asymptotics. It will pay particular attention to the connection between stochastic processes and PDEs, as well as to physical principles and applications. The class will attempt to strike a balance between rigour and heuristic arguments: it will assume that students have some familiarity with measure theory and analysis and will make occasional reference to these, but many results will be derived through other arguments. The target audience is PhD students in applied mathematics, who need to become familiar with the tools or use them in their research.
Text:
 Stochastic Processes and Applications, by G. A. Pavliotis.
 C. Gardiner, Stochastic Methods: A Handbook for the Natural and Social Sciences

MATHGA.2708001 Algorithmic Trading & Quantitative Strategies
3 Points, Tuesdays, 7:109:00PM, Petter Kolm and Lee Maclin
Prerequisites:
Computing in Finance, and Risk Portfolio Management with Econometrics, or equivalent.
Description:
In this course we develop a quantitative investment and trading framework. In the first part of the course, we study the mechanics of trading in the financial markets, some typical trading strategies, and how to work with and model high frequency data. Then we turn to transaction costs and market impact models, portfolio construction and robust optimization, and optimal betting and execution strategies. In the last part of the course, we focus on simulation techniques, backtesting strategies, and performance measurement. We use advanced econometric tools and model risk mitigation techniques throughout the course. Handouts and/or references will be provided on each topic.

MATHGA.2710001 Mechanics
3 Points, Wednesdays, 1:253:15PM, Esteban Tabak
Description:
This course provides brief mathematical introductions to elasticity, classical mechanics, and statistical mechanics  topics at the interface where differential equations and probability meet physics and materials science. For students preparing to do research on physical applications, the class provides an introduction to crucial concepts and tools; for students of analysis the class provides valuable context by exploring some central applications. No prior exposure to mechanics or physics is assumed.
The segment on elasticity (about 6 weeks) will include: onedimensional models (strings and rods); buckling as a bifurcation; nonlinear elasticity for 3D solids; and linear elasticity. The segment on classical mechanics (about 5 weeks) will include: basic examples; alternative formulations including action minimization and Hamilton's equations; relations to the Calculus of Variations including HamiltonJacobi equations, optimal control, and geodesics; stability and parametric resonance. The segment on statistical mechanics (about 3 weeks) will include basic concepts such as the microcanonical and canonical ensembles, entropy, and the equilibrium distribution; some simple examples; and the numerical method known as Metropolis sampling.

MATHGA.2751001 Risk & Portfolio Management W/Econometrics
3 Points, Wednesdays, 7:109:00PM, Aaron Brown
Description:
Risk Management is arguably one of the most important tools for managing a trading book and quantifying the effects of leverage and diversification (or lack thereof).
This course is an introduction to riskmanagement techniques for portfolios of (i) equities and delta1 securities and futures (ii) equity derivatives (iii) fixed income securities and derivatives, including credit derivatives, and (iv) mortgagebacked 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 riskmeasures (e,g. VaR and Expected Shortfall) and historical backtesting of portfolios. We also review current riskmodels and practices used by large financial institutions and clearinghouses.
If time permits, the course will also cover models for managing the liquidity risk of portfolios of financial instruments.

MATHGA.2752001 Active Portfolio Management
3 Points, Mondays, 5:107:00PM, Jerome Benveniste
Prerequisites:
Risk & Portfolio Management with Econometrics, Computing in Finance.
Description:
The first part of the course will cover the theoretical aspects of portfolio construction and optimization. The focus will be on advanced techniques in portfolio construction, addressing the extensions to traditional meanvariance optimization including robust optimization, dynamical programming and Bayesian choice. The second part of the course will focus on the econometric issues associated with portfolio optimization. Issues such as estimation of returns, covariance structure, predictability, and the necessary econometric techniques to succeed in portfolio management will be covered. Readings will be drawn from the literature and extensive class notes.

MATHGA.2753001 Advanced Risk Management
3 Points, Wednesdays, 7:109:00PM, Ken Abbott and Irena Khrebtova
Prerequisites:
Derivative Securities, Computing in Finance or equivalent programming.
Description:
The importance of financial risk management has been increasingly recognized over the last several years. This course gives a broad overview of the field, from the perspective of both a risk management department and of a trading desk manager, with an emphasis on the role of financial mathematics and modeling in quantifying risk. The course will discuss how key players such as regulators, risk managers, and senior managers interact with trading. Specific techniques for measuring and managing the risk of trading and investment positions will be discussed for positions in equities, credit, interest rates, foreign exchange, commodities, vanilla options, and exotic options. Students will be trained in developing risk sensitivity reports and using them to explain income, design static and dynamic hedges, and measure valueatrisk and stress tests. Students will create Monte Carlo simulations to determine hedge effectiveness. Extensive use will be made of examples drawn from real trading experience, with a particular emphasis on lessons to be learned from trading disasters.
Text:
Allen, S.L. (2003). Wiley Finance [Series, Bk. 119]. Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk. Hoboken, NJ: John Wiley & Sons.

MATHGA.2755001 Project & Presentation
3 Points, Wednesdays, 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, Mondays, 7:109:00PM, Alireza Javaheri
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, Bruno Dupire and Montacer Essid
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.2798001 Interest Rate & Fx Models
3 Points, Thursdays, 5:107:00PM, Fabio Mercurio and Travis Fisher
Prerequisites:
Derivative Securities, Stochastic Calculus, and Computing in Finance (or equivalent familiarity with financial models, stochastic methods, and computing skills).
Description:
The course is divided into two parts. The first addresses the fixedincome models most frequently used in the finance industry, and their applications to the pricing and hedging of interestbased derivatives. The second part covers the foreign exchange derivatives markets, with a focus on vanilla options and firstgeneration (flow) exotics. Throughout both parts, the emphasis is on practical aspects of modeling, and the significance of the models for the valuation and risk management of widelyused derivative instruments.

MATHGA.2799001 Modeling And Risk Management Of Bonds And Securitized Products (2Nd Half Of Semester)
3 Points, Thursdays, 7:109:00PM, Rodney SunadaWong
Description TBA 
MATHGA.2800001 Trading Energy Derivatives (1St Half Of Semester)
3 Points, Thursdays, 7:109:00PM, TBA
Description TBA 
MATHGA.2801001 Advanced Topics In Equity Derivatives (2Nd Half Of Semester)
3 Points, Wednesdays, 7:109:00PM, Sebastien Bossu
Prerequisites: Derivative Securities, Stochastic Calculus, and Computing in Finance or equivalent programming experience.
Description: This halfsemester course will give a practitioner’s perspective on a variety of advanced topics with a particular focus on equity derivatives instruments, including volatility and correlation modeling and trading, and exotic options and structured products. Some metamathematical topics such as the practical and regulatory aspects of setting up a hedge fund will also be covered.

MATHGA.2802001 Market Microstructure (1St Half Of Semester)
3 Points, Wednesdays, 7:109:00PM, Gordon Ritter
Prerequisites:
Derivative Securities, Risk & Portfolio Management with Econometrics, and Computing in Finance or equivalent programming experience.
Description:
This is a halfsemester course covering topics of interest to both buyside traders and sellside execution quants. The course will provide a detailed look at how the trading process actually occurs and how to optimally interact with a continuous limitorder book market.
We begin with a review of early models, which assume competitive suppliers of liquidity whose revenues, corresponding to the spread, reflect the costs they incur. We discuss the structure of modern electronic limit order book markets and exchanges, including queue priority mechanisms, order types and hidden liquidity. We examine technological solutions that facilitate trading such as matching engines, ECNs, dark pools, multiple venue problems and smart order routers.
The second part of the course is dedicated pretrade market impact estimation, posttrade slippage analysis, optimal execution strategies and dynamic noarbitrage models. We cover AlmgrenChriss model for optimal execution, Gatheral’s nodynamicarbitrage principle and the fundamental relationship between the average response of the market price to traded quantity, and properties of the decay of market impact.
Homework assignments will supplement the topics discussed in lecture. Some coding in Java will be required and students will learn to write their own simple limitorderbook simulator and analyze real NYSE TAQ data.

MATHGA.2840001 Advanced Topics In Applied Math: Data Analysis Through Optimal Transport
3 Points, Thursdays, 1:253:15PM, Esteban Tabak
This course will present an evolving methodology for the explanation of variability in data in terms of known and unknown factors, based on the mathematical theory of optimal transport.
Real world observations can be highly individualized. Medical data, for instance, aggregates samples of patients having each a unique combination of age, sex, diet, prior conditions and prescribed drugs; samples that are often collected and analyzed at facilities with different equipment and personnel. In addition, each patient has an underlying health state that one would like to extract from the data. The individualized nature of data provides a door to personalized medicine and, more generally, to increased predictability, but also brings in a number of mathematical challenges.
The connection to optimal transport presents itself naturally in the context of removing from observations {x_i} the variability attributable to a factor z. The existence of such attributable variability means that the conditional distribution rho(xz) depends on z. Removing the attributable variability is therefore tantamount to estimating a set of maps x > y = Y(x; z) so that none of the variability remaining in y can be attributed to z. In addition, one wants these maps to distort the data minimally, so that the variability not related to z is unaffected by the transformation from x to y.
This class will explore how these ideas can be expanded to provide a general framework for the analysis of data, including broad generalizations of classical tools such as clustering by kmeans and principal component analysis. Tools will include conditional optimal transport and the Wasserstein barycenter problem, and their adversarial formulations based on duality and minimaximization.

MATHGA.2840004 Advanced Topics In Applied Math: Communication In The Mathematical Sciences: Teaching, Writing, And Oral Presentation
3 Points, Wednesdays, 3:205:10PM, Miranda HolmesCerfon and Corrin Clarkson
Description TBA 
MATHGA.2852001 Advanced Topics In Math Biology: Stochastic Problems In Biology & Neuroscience
3 Points, Thursdays, 1:253:15PM, Daniel Tranchina
Prerequisites: Elementary background in ODEs, PDEs, probability theory, and Fourier transforms.
A variety of topics in biology and neuroscience will be addressed, including: (1) Stochastic gene expression: analytical modeling of stochastic messenger RNA synthesis and degradation; discrete and continuous models; master equation; probability generating function; steadystate distributions; temporal evolution of the distributions; stochastic protein product. (2) Stochastic cell divisions and population growth: mean growth rate; age distributions; maximum likelihood retrospective distribution of random generation times along lineages of a cells selected randomly from extant cells in a population; discrete models for population growth, including birth and death. (3) Singlephoton responses of retinal rods; statistical measures of variability; reproducibility of the singlephoton response; explicit stochastic biochemical kinetic models; model testing with Monte Carlo simulations. (4) Optimal spatiotemporal filtering of photon noise in vision; physiological correlates in retinal light adaptation (5) Stochastic witching between bistable percepts, e.g. 2 very different auditory percepts induced by ABA tone sequence. (6) Stochastic behavior of neurons in the central nervous system: models for synaptic noise; spike train statistics and renewal theory. (7) Probability density methods for largescale modeling of neural networks: partial differentialintegral equations; FokkerPlank approximation; applications to modeling orientation tuning in visual cortex.

MATHGA.2852002 Advanced Topics In Applied Math Biology: Entropy In Biology
3 Points, Mondays, 11:0012:50PM, Charles Peskin
Prerequisites: Working knowledge of probability and differential equations as used in applications.
Living systems exist in a thermal environment, and entropy plays a fundamental role in their dynamics. This course begins with an introduction to entropy as defined and used in thermodynamics and in statistical mechanics, including the principle of detailed balance and the Einstein and Onsager relations. The rest of the course will focus on specific biological topics: osmotic pressure and the control of cell volume; ion transport through membrane channels; rotary molecular motors driven by ionic elecrochemical potential differences across membranes; entropydriven biochemical reactions; entropic spring forces, hydrophobic forces, and the mechanics of gels; the molecular mechanism and thermodynamics of muscle contraction; and multicomponent diffusion. A theme of the course will be the interplay between macroscopic and microscopic models, and the use of computer simulation to make entropic phenomena visible. 
MATHGA.2901001 Basic Probability
3 Points, Wednesdays, 7:109:00PM, Paul Bourgade
Prerequisites: Calculus through partial derivatives and multiple integrals; no previous knowledge of probability is required
Description:
The onesemester 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 martingales in discrete time, and if time permits Markov chains and Brownian motion.
Texts:
 Probability Essentials by J.Jacod and P.Protter.
 Probability: Theory and Examples (4^{th} edition) by R. Durrett.

MATHGA.2902001 Stochastic Calculus
3 Points, Thursdays, 7:109:00PM, TBA
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.2902002 Stochastic Calculus Optional Problem Session
3 Points, Tuesdays, 7:108:10PM, TBA
Description TBA 
MATHGA.2912001 Probability: Limit Theorems II
3 Points, Wednesdays, 9:0010:50AM, Yuri Bakhtin
Prerequisites: A first course in probability, familiarity with Lebesgue integral, or MATHGA 2430 Real Variables as mandatory corequisite.
Description:
Stochastic processes in continuous time. Brownian motion. Poisson process. Processes with independent increments. Stationary processes. Semimartingales. Markov processes and the associated semigroups. Connections with PDEs. Stochastic differential equations. Convergence of processes.
Recommended & On Reserve Text:
 Stochastic Processes by Varadhan (Courant Lecture Series in Mathematics, volume 16)
 Theory of Probability and Random Processes by Koralov and Sinai
 Brownian Motion and Stochastic Calculus by Karatzas and Shreve
 Markov Processes: Characterization and Convergence by Ethier and Kurtz
Convergence of Probability Measures

MATHGA.2932001 Advanced Topics In Probability: Random Matrix Theory
3 Points, Tuesdays, 1:253:15PM, Percy Deift
The course will cover the basic theory of invariant unitary, orthogonal and symplectic random matrix ensembles.
Some universality results and some applications of random matrix theory will also be discussed.

MATHGA.2932002 Advanced Topics In Probability: TBA
3 Points, Mondays, 9:0010:50AM, Eyal Lubetzky and Paul Bourgade
Description TBA 
MATHGA.3003001 Ocean Dynamics
3 Points, Tuesdays, 1:253:15PM, Edwin Gerber
Description:
The goal of this course is to introduce students to modern dynamical oceanography, with a focus on mathematical models for observed phenomena. The lectures will cover the observed structure of the ocean, the thermodynamics of seawater, the equations of motion for rotatingstratified flow, and the most useful approximations thereof: the primitive, planetary geostrophic and quasigeostrophic equations. The lectures will demonstrate how these approximations can be used to understand boundary layers, winddriven circulation, buoyancydriven circulation, oceanic waves (Rossby, Kelvin and inertiogravity), potential vorticity dynamics, theories for the observed upperocean stratification (the thermocline), and for the global general circulation. Additionally the course will cover relevant oceanic fluid instabilities and their resulting turbulence: mesoscale turbulence driven by baroclinic instability, convective turbulence and highlatitude sinking, and mixing across density surfaces due to sheardriven turbulence. Finally, we will discuss tides and the observed internal wave spectrum. Throughout the lectures, the interplay between observational, theoretical, and modeling approaches to problems in oceanography will be highlighted.
Course activities will include a few problem sets and class presentations.
Recommended Text:
 "The Theory of LargeScale Ocean Circulation" by R. Samelson (Cambridge 2011)
 "Atmospheric and Oceanic Fluid Dynamics" by G.K. Vallis (Cambridge 2006)
 "Lectures on Geophysical Fluid Dynamics" by R. Salmon (Oxford 1998)
 In addition, will read relevant journal articles each week.

MATHGA.3011001 Advanced Topics In AOS: Machine Learning In Atmosphere/Ocean Climate Science
3 Points, Mondays, 1:253:15PM, Laure Zanna
Description TBA