401-4657-00L Numerical Analysis of Stochastic Ordinary Differential Equations
Semester | Autumn Semester 2012 |
Lecturers | A. Jentzen |
Periodicity | yearly recurring course |
Language of instruction | English |
Comment | Alternative course title: "Computational Methods for Quantitative Finance: Monte Carlo and Sampling Methods" |
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 6 credits |
Examiners | A. Jentzen |
Type | end-of-semester examination |
Language of examination | English |
Repetition | The performance assessment is only offered at the end after the course unit. Repetition only possible after re-enrolling. |
Admission requirement | A NUMERICAL GRADE for the course is based only on the written End-of-Semester final examination. Participation in the written End-of-Semester final examination requires ``TESTAT''. A ``TESTAT'' constitutes ``successful participation in course''. It is NOT a numerical grade. ``TESTAT'' is given if correct solution of at least 70 per cent of COURSE HOMEWORK ASSIGNMENTS has been achieved. |
Additional information on mode of examination | End-of-Semester examination will be *closed book*, 2hr in class, and will involve theoretical as well as MATLAB programming problems. Examination will take place on ETH-workstations running MATLAB under LINUX. Own computer will NOT be required for the examination. |