It introduces and analyzes important numerical methods for solving linear and nonlinear systems, two-point boundary value problems, as well as Monte Carlo methods and their applications in such fields as quantitative finance and physics. The module aims at developing students’ problem-solving skills in emerging applications of modern scientific computing, and is intended for mathematics and quantitative finance majors and students from engineering, computer science and physical sciences. Major topics: Iterative methods for systems of linear equations and their convergence analysis, numerical solutions of systems of nonlinear equations, methods for solving two-point boundary value problems, Monte Carlo methods and their applications.
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