401-4657-00L  Numerical Analysis of Stochastic Ordinary Differential Equations

SemesterAutumn Semester 2012
LecturersA. Jentzen
Periodicityyearly recurring course
Language of instructionEnglish
CommentAlternative 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 credits6 credits
ExaminersA. Jentzen
Typeend-of-semester examination
Language of examinationEnglish
RepetitionThe performance assessment is only offered at the end after the course unit. Repetition only possible after re-enrolling.
Admission requirementA 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 examinationEnd-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.