IE 523

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Credit: 4 hours.

Review of C++ programming: structures, classes, I/O, C++ standard libraries, Recursion. Linear Algebra tools and MILP solvers in C++. Computational aspects of probability, statistics and simulation in C++. Methods: Root-finding, Taylor's Expansion, FFTs, Dynamic Programming, Monte Carlo Methods. Financial computing case studies in C++.

Prerequisite: CS 225.

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