Found 6 relevant results in 2.49s where lecturer="Andreas Prohl"
In this lecture we treat problems in applied analysis. The focus lies on the solution of quasilinear first order PDEs with the method of characteristics, and on the study of three fundamental types of partial differential equations of second order: the Laplace equation, the heat equation, and the wave equation.
Introduction to partial differential equations. Differential equations which are important in applications are classified and solved. Elliptic, parabolic and hyperbolic differential equations are treated. The following mathematical tools are introduced: Laplace transforms, Fourier series, separation of variables, calculus of variation, methods of characteristics.
Monte Carlo Methods in Financial Engineering
Monte Carlo Methods in financial engineering
Monte Carlo simulation is one of the central numerical methods for the calculation of prices and risk parameters in financial engineering. Using Glasserman's book, we will cover the basic principles of MC simulation and also address various methods to improve convergence and to solve certain special problems.
Multilinear Algebra and Its Applications
Multilineare Algebra und ihre Anwendungen
matrices and determinantsvector spaces and linear mapscalculus of observationseigenvalue problemapplications of the eigenvalue problemnormal formsnumerical treatment of the eigenvalue problemvector algebra, first order tensorsecond order tensorapplications of tensorshigher order tensor