ESSENTIAL NUMERICAL METHODS FOR DATA ANALYTICS AND FINANCIAL ENGINEERING
This course introduces essential numerical methods to students who are interested in data analytics and financial engineering. Major topics of the course include
- Introduction to supervised/unsupervised learning, including Kernel methods, support vector machines, K-means clustering, neural networks;
- Numerical methods for financial engineering with a focus on Monte Carlo methods importance sampling, and various variance reductions techniques.
Applications of these methods to practical problems arising from data analytics and financial engineering (e.g. option pricing) will be discussed. These methods also find many applications in various scientific fields, so students interested in scientific computing will benefit from this course as well.
|Welcome message from Dean of NUS SCALE
||Tutorials conducted over Zoom
Participants should have basic understanding of Calculus, linear algebra, probability theory at undergraduate level.
Participants should be able to read, write and communicate fluently in English, and understand basic terminologies used in the class.
WHO SHOULD ATTEND
Undergraduate students majoring in mathematics and other disciplines in science.
MODE OF DELIVERY
18 hours of Synchronous sessions including tutorials and final presentation.
MODE OF ASSESSMENT
- Continuous Assessment
- Group project
Professor Weiqing Ren
Dept of Mathematics
Faculty of Science
National University of Singapore
Prof. Ren obtained his PhD from the Courant Institute at New York University in 2002. Before joining the National University of Singapore (NUS) in 2011, he was a member at the Institute for Advanced Study at Princeton (2002-2003), an instructor at Princeton University (2003-2005), and an assistant professor at Courant Institute (2005-2011). He is currently a Professor of Mathematics at NUS.
Prof. Ren received the Alfred P. Sloan Research Fellowship in 2007 and the Feng Kang Prize of Scientific Computing in 2015.
Prof. Ren's research interest lies in the broad area of applied mathematics and scientific computing. His recent work has focused on:
- Building the mathematical foundation and finding effective numerical methods for modeling rare events (the string method, the minimum action method, etc),
- Modeling and simulation of multi-phase flows, in particular, the moving contact line problem,
- Development and analysis of multiscale, multi-physics numerical methods.
CERTIFICATE OF COMPLETION
Successful participants who complete all requirements of the programme including passing the assessment will receive a certificate of completion issued by NUS SCALE.
A sample of the certificate of participation can be found here:
Participants from the project team with the highest score for the group project will also receive a commendation letter. A sample is shown below:
in collaboration with Looker Education Group
For programme enquiries, please fill the form here