Course Notes

Non-linear Optimization

• An Introduction to Nonlinear Optimization [PDF]
• An Introduction to Duality Theory [PDF]

Monte-Carlo Methods

• The Monte-Carlo Method [PDF]
• Strategies for Improving Monte-Carlo Methods [PDF]

Mathematical Finance

• An Introduction to Portfolio Theory [PDF]
• The Black-Scholes-Merton Approach to Pricing Options [PDF]
• Contingent Claims and the Arbitrage Theorem [PDF]
• A Brief Introduction to Stochastic Volatility Modeling [PDF]