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

SemesterAutumn Semester 2021
LecturersA. Stein
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. Stein
Typeend-of-semester examination
Language of examinationEnglish
RepetitionA repetition date will be offered in the first two weeks of the semester immediately consecutive.
Mode of examinationwritten 120 minutes
Additional information on mode of examinationLearning tasks: Meaningful solutions to 70% of the weekly homework assignments can count as bonus of up to +0.25 of final grade.

End-of-Semester examination will be *closed book*, 2hr in class, and will involve theoretical as well as MATLAB/Python programming problems.
Examination will take place on ETH-workstations running MATLAB/Python.
Own computer will NOT be allowed for the examination.
Written aidsNone
Online examinationThe examination may take place on the computer.
Distance examinationIt is not possible to take a distance examination.