MGT-484: Applied probability & stochastic processesThis course focuses on dynamic models of random phenomena, and in particular, the most popular classes of such models: Markov chains and Markov decision processes. We will also study applications in queuing theory, finance, project management, etc. ...
COM-417: Advanced probability and applicationsIn this course, various aspects of probability theory are considered. The first part covers the main theorems in the field (law of large numbers, central limit theorem), while the second part focuses on the theory of martingales and concentration inequalit ...
MATH-476: Optimal transportThe first part is devoted to Monge and Kantorovitch problems, discussing the existence and the properties of the optimal plan. The second part introduces the Wasserstein distance on measures and develops applications of optimal transport to PDEs, functiona ...
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 mathematics. Moreover, the concepts of complete and incompl ...
PHYS-467: Machine learning for physicistsMachine learning and data analysis are becoming increasingly central in sciences including physics. In this course, fundamental principles and methods of machine learning will be introduced and practised. ...
BIO-449: Understanding statistics and experimental designThis course is neither an introduction to the mathematics of statistics nor an introduction to a statistics program such as R. The aim of the course is to understand statistics from its experimental design and to avoid common pitfalls of statistical reason ...
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 applications in finance, for example for option pricing, risk mana ...
ENG-639: Dynamic programming and optimal controlThis course provides an introduction to stochastic optimal control and dynamic programming (DP), with a variety of engineering
applications. The course focuses on the DP principle of optimality, and its utility in deriving and approximating solutions to an ...
FIN-414: Optimization methodsThis course presents the problem of static optimization, with and without (equality and inequality) constraints, both from the theoretical (optimality conditions) and methodological (algorithms) point of view. Economics and financial applications are provi ...
EE-715: Optimal controlThis doctoral course provides an introduction to optimal control covering fundamental theory, numerical implementation and problem formulation for applications. ...
