All Applied Graduate Courses:
Applied Mathematics, Computational Science, Computational Finance
and Mathematical and Information Sciences for Industry (MISI)

• Applied Mathematics and Computational Science Homepage

• Computational Finance Tracks (ApplMath, MISI, MCS(?)) Homepage

• Mathematical and Information Sciences for Industry (MISI) Program* Homepage
  *The MISI program has final approval of the Illinois Board of Higher Education (IBHE), 01 February 2000, and earlier has been approved by department, college, university, and Board of Trustees. MISI has been an official program since the Fall 2000 Semester.

Caveat Usor Disclaimer:
Please check the UIC Class Schedule for the Official Time Schedule.

MISI Core Courses:

• MCS 504 MISI Industry Workshop, Fall and Spring Semesters, Prof. Robert L. Grossman,
  • COURSE DESCRIPTION: May be repeated for credit. Students may register for more than one section per term. A project-based course on one or more topics in applied mathematics, statistics, or computer science, motivated by industrial problems. The topics vary from year to year.
  • PREREQUISITES: a grade of B or better in MCS 401, 471 and 507, OR CONSENT OF THE INSTRUCTOR.
  • URL for MCS504 (Grossman) WEBPAGE: http://www.lac.uic.edu/mcs504-99.html
  • COMMENTS: This is a core course in the new Master of Science Degree program in Mathematics and Information Sciences for Industry.

• MCS 507 Mathematical, Statistical & Scientific Software, Fall Semesters, Prof. Floyd B. Hanson,
  • COURSE DESCRIPTION: The design, analysis and use and of mathematical, statistical, and scientific software.
  • PREREQUISITES: Grade of B or better in MCS 360, an equivalent course, or consent of instructor. MCS 471 is highly recommended.
  • TEXT(S): William H. Press et al., Numerical Recipes in C, Cambridge University Press.
  • COMMENTS: This is a new course that is a core course in the new Master of Science Degree program in Mathematics and Information Sciences for Industry, which became official for Fall Y2K.
  • URL of MCS 507 HOMEPAGE: http://www.math.uic.edu/~hanson/mcs507/

MISI Computational Financial Mathematics Track:

• Math 590 Advances Topics in Applied Mathematics: Computational Finance, Spring Semesters, Prof. Charles Tier
  • COURSE DESCRIPTION: Finance is one of the fast growing areas in the corporate world. Along with this, the explosion in financial instruments has led ot the development of new mathematical models and methods for their analysis. The course begins with a review of financial derivatives and their applications. Models of financial derivatives will be presented such as Black-Scholes model. The approach will be baseed on partial differential equations using analytic and numerical methods.
  • PREREQUISITES: Background in differential equations and introductory probability or consent of the instructor.
  • TEXT(S): Wilmot, Howison, and Dewynne, The Mathematics of Financial Dervatives; A Student Introduction, Cambridge University Press.
  • URL for MCS590 WEBPAGE: http://www.math.uic.edu/~tier/M590/

• Math 590 Advanced Topics in Applied Mathematics: Principles of Financial Mathematics, Variable Semesters, Prof. Stephen S. T. Yau,
  • PREREQUISITES: Approval of the Department. Graduate Standing Required.
  • TEXT(S): S. N. Neftci, An Introduction to the Mathematics of Financial Derivatives , Academic Press.
  • COURSE DESCRIPTION: Continuation course that started with 1. Probability Theory, 2. Financial Instruments, 3. Basic Principles of Asset Evaluations, 4. One Period Asset Valuation, One Period Pricing Model, 5. Discrete Time Model, Arbitrage and Martingales, Complete Markets, 6. American Options, Supermartingales and Snell Envelope, Stopping Time, Decomposition of Supermartingales, 7. Continuous Time Model for Stock Prices, Brownian Motion, Continuous Martingale Stochastic Calculus, 8. Black-Scholes Differential Equation, The Market Price of Risk.

Other Related Courses:

• MCS 471 Numerical Analysis, All Semesters

  3 OR 4 HOURS.
  PREREQUISITE: GRADE OF C OR BETTER IN MCS 360 OR EECS 270.
  UNDERGRADUATE STUDENTS MUST REGISTER FOR 3 HOURS;
  GRADUATE STUDENTS FOR 4 HOURS.
  

• MCS 597 Master's Project. Student's Advisor.
  • PREREQUISITE: APPROVAL OF THE DEPARTMENT. GRADUATE STANDING REQUIRED. SATISFACTORY/UNSATISFACTORY GRADE ONLY.
  • Hours: 0 TO 16 HOURS.
  • Comment: 2-4 Hours for a Master's Project.

• MATH 579 Singular Perturbations.

  4 HOURS.
  PREREQUISITE: MATH 417 AND MATH 481
  OR CONSENT OF THE INSTRUCTOR.  GRADUATE STANDING REQUIRED.