MATH-431: Theory of stochastic calculusIntroduction to the mathematical theory of stochastic calculus: construction of stochastic Ito integral, proof of Ito formula, introduction to stochastic differential equations, Girsanov theorem and F
FIN-415: Probability and stochastic calculusThis course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. The fundamental notions and techniques introduced in this course have many applicatio
FIN-404: DerivativesThis course provides a detailed presentation of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contrac
CS-439: Optimization for machine learningThis course teaches an overview of modern optimization methods, for applications in machine learning and data science. In particular, scalability of algorithms to large datasets will be discussed in t
CS-456: Deep reinforcement learningThis course provides an overview and introduces modern methods for reinforcement learning (RL.) The course starts with the fundamentals of RL, such as Q-learning, and delves into commonly used approac
FIN-601: Theoretical corporate financeThe aim of this course is to expose students to important topics in the literature on corporate finance. The objective of the course is to give students a working understanding of key papers and to ex
MATH-487: Topics in stochastic analysisThis course offers an introduction to topics in stochastic analysis, oriented about theory of multi-scale stochastic dynamics. We shall learn the fundamental ideas, relevant techniques, and in general
MATH-101(g): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable.
FIN-407: Machine learning in financeThis course aims to give an introduction to the application of machine learning to finance, focusing on the problems of portfolio optimization and hedging, as well as textual analysis. A particular fo
ME-427: Networked control systemsThis course offers an introduction to control systems using communication networks for interfacing sensors, actuators, controllers, and processes. Challenges due to network non-idealities and opportun
MATH-414: Stochastic simulationThe student who follows this course will get acquainted with computational tools used to analyze systems with uncertainty arising in engineering, physics, chemistry, and economics. Focus will be on s
MATH-470: Martingales in financial mathematicsThe aim of the course is to apply the theory of martingales in the context of mathematical finance. The course provides a detailed study of the mathematical ideas that are used in modern financial mat
MATH-485: Introduction to stochastic PDEsStochastic PDEs are used to model systems that are spatially extended and include a random component. This course gives an introduction to this topic, including some general measure theory, some Gauss
MATH-101(a): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable.
MATH-101(e): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable.
MATH-101(f): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable.
