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    IEOR E4721 Fall 2017 Syllabus

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    zidanex
    This document provides information about a 4-part mathematics and statistics review course for students in the MSFE program at Columbia University. The course will cover topics in linear algebra, calculus I and II, and statistics. It will take place over 4 sessions in late August 2017. The document includes an outline of the specific topics to be covered in each subject area, such as matrix operations, multivariable calculus, differential equations, random variables, and linear regressions. Recommended additional resources are also provided for students who want to review or learn more about any of the topics.

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    IEOR E4721 Fall 2017 Syllabus

    Uploaded by

    zidanex
    211 views2 pages
    This document provides information about a 4-part mathematics and statistics review course for students in the MSFE program at Columbia University. The course will cover topics in linear algebra, calculus I and II, and statistics. It will take place over 4 sessions in late August 2017. The document includes an outline of the specific topics to be covered in each subject area, such as matrix operations, multivariable calculus, differential equations, random variables, and linear regressions. Recommended additional resources are also provided for students who want to review or learn more about any of the topics.

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    This document provides information about a 4-part mathematics and statistics review course for students in the MSFE program at Columbia University. The course will cover topics in linear algebra, calculus I and II, and statistics. It will take place over 4 sessions in late August 2017. The document includes an outline of the specific topics to be covered in each subject area, such as matrix operations, multivariable calculus, differential equations, random variables, and linear regressions. Recommended additional resources are also provided for students who want to review or learn more about any of the topics.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    211 views2 pages

    IEOR E4721 Fall 2017 Syllabus

    Uploaded by

    zidanex
    This document provides information about a 4-part mathematics and statistics review course for students in the MSFE program at Columbia University. The course will cover topics in linear algebra, calculus I and II, and statistics. It will take place over 4 sessions in late August 2017. The document includes an outline of the specific topics to be covered in each subject area, such as matrix operations, multivariable calculus, differential equations, random variables, and linear regressions. Recommended additional resources are also provided for students who want to review or learn more about any of the topics.

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    © All Rights Reserved
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    Mathematics and Statistics Review for

    Financial Engineering
    Michael B. Miller mm5013@columbia.edu

    2017 class schedule:

    1. Wednesday, August 23, 3:00-6:00 pm


    2. Thursday, August 24, 3:00-6:00 pm
    3. Wednesday, August 30, 3:00-6:00 pm
    4. Thursday, August 31, 3:00-6:00 pm

    This series of four lectures is a review of topics in mathematics that will be used in your MSFE classes.
    We expect incoming students to be familiar with most, if not all, of these topics.

    Outline
    1. Linear algebra
    a. Matrix operations and properties
    b. Norms
    c. Inner products
    d. Linear (in)dependence
    e. Rank of a matrix
    f. Eigenvectors and eigenvalues
    g. Hyperplanes
    2. Calculus I
    a. Logs and e
    b. Multivariable calculus
    i. Partial derivatives
    ii. Gradients
    iii. Hessians
    c. Taylor's theorem
    d. Leibnitz rule for differentiating integrals
    3. Calculus II
    a. Differential Equations
    i. 1st order ordinary differential equation (ODE)
    ii. Higher order ODEs
    iii. Partial differential equations
    iv. Finite difference methods
    b. Optimization
    i. Single variable, unconstrained
    ii. Constraints and multivariable equations
    iii. Lagrange multipliers
    4. Statistics
    a. Random variables
    b. Expectations
    c. Standard deviation and variance
    d. Parametric distributions
    i. Bernoulli
    ii. Binomial
    iii. Chi-squared
    iv. Exponential
    v. Gamma
    vi. Geometric
    vii. Normal or Gaussian (one dimension)
    viii. Poisson
    ix. Uniform
    e. Linear regressions, hypothesis testing

    Further Reading
    If you are comfortable with all of these topics or you already have textbooks that cover these topics, you
    do not need to buy any additional textbooks.

    If there are just one or two topics which you need to review further, there are a number of web sites
    that cover these topics. SOS Mathematics (www.sosmath.com) is a good site with many sample
    problems.

    If you need additional help or would prefer a textbook treatment, consider

    • A Primer for The Mathematics of Financial Engineering by Dan Stefanica. This book covers most
    of the calculus topics we will discuss, is concise, and includes examples from financial
    engineering.
    • Mathematics and Statistics for Financial Risk Management by Michael B. Miller. This book
    covers most of the linear algebra and statistics topics we will cover. The book includes end-of-
    chapter problems with answers, which makes it ideal for self-study.

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