Online Courses on PDE, Numerical Analysis, and C++

[Zhengnan Zhao]

Hi all,

I will be joining the UCB MFE program in March 2015. To better prepare for the program, I've been asked to take courses on PDE, Numerical Analysis, and C++.

Could anyone recommend good online courses (paid or free) on these subjects? BTW, has anyone heard of the Saylor Academy? They offer free online courses (http://www.saylor.org/courses/ma222/) on these subjects, but I'm uncertain of their quality.

Thanks in advance,
Zhengnan

 

[EddyS]

Have you checked with Berkley staff if they will accept courses offered by other institutions? The answer i guess will be a flat no. They want you to take the pre-program courses that they offer even if the content offered by others is identical.

 

[EddyS]

Did you get admit in R4?

 

[Zhengnan Zhao]

Did you get admit in R4?

I was admitted in R2.

They do accept graded courses from other accredited institutions. But most of the institutions that offer these courses began instruction in early Sept. If I enrol now, I will have missed half of the course. That's why I'm looking for courses that let you choose your own start time.

 

[Daniel Duffy]

Hi all,

I will be joining the UCB MFE program in March 2015. To better prepare for the program, I've been asked to take courses on PDE, Numerical Analysis, and C++.

Could anyone recommend good online courses (paid or free) on these subjects? BTW, has anyone heard of the Saylor Academy? They offer free online courses (http://www.saylor.org/courses/ma222/) on these subjects, but I'm uncertain of their quality.

Thanks in advance,
Zhengnan

I had a quick look. It looks quite rigorous. For example, I noticed Sara McMurray's contents, some of which I did in 1972 from her at Trinity College.
Do you intend doing all Units?

Computational finance is mainly convection-diffusion-reaction PDE and more importantly FDM for theses.

I have FDM courses on www.datafinancial.com

 

[Zhengnan Zhao]

I had a quick look. It looks quite rigorous. For example, I noticed Sara McMurray's contents, some of which I did in 1972 from her at Trinity College.
Do you intend doing all Units?

Computational finance is mainly convection-diffusion-reaction PDE and more importantly FDM for theses.

I have FDM courses on www.datafinancial.com

Yes, I intend to finish all Units. But it may take me quite a while because I don't have a particularly strong math background. I've only taken Cal I and Linear Algebra in college. Any suggestions on how I should tackle PDE? Thanks.

 

[Daniel Duffy]

Yes, I intend to finish all Units. But it may take me quite a while because I don't have a particularly strong math background. I've only taken Cal I and Linear Algebra in college. Any suggestions on how I should tackle PDE? Thanks.

Maybe some preparation is useful.

a. Widder, Advanced Calculus, for nitty-gritty.
b. McClure Boundary Value Problems and Fourier Expansions, a nice overview of PDE.


Linear algebra is not so useful for PDE, it being discrete. You need to know differentiation and integration.

hth

 

[Ole Bueker]

Here's a syllabus of a introductory course of PDE, with many books recommendations and discussion about the books mentioned.
http://www.math.nyu.edu/faculty/kohn/pde-I/2014/syllabus-pde-I-fall2014.pdf

Best of luck!

 

[bigbadwolf]

Yes, I intend to finish all Units. But it may take me quite a while because I don't have a particularly strong math background. I've only taken Cal I and Linear Algebra in college. Any suggestions on how I should tackle PDE? Thanks.

Ask UCB to delay admission for a year. You don't have enough time to prepare (and I'm surprised UCB admitted you with such a threadbare math background). There's no fast way from calc 1 to PDEs. You need calc 2 and calc 3 as well, and then a course on ODEs which emphasises the use of linear algebra. For PDEs the best introduction I know is An Introduction to Linear Analysis by Kreider, Kuller, Ostberg, and Perkins, which was published about fifty years back. This book assumes only elementary calculus but takes you right up to boundary value problems for PDEs (in the last three chapters). The catch is that it's over 600 pages (excluding the appendices on infinite series, determinants, and uniqueness theorems). It will take you time to work through it.

 

[Daniel Duffy]

For PDEs the best introduction I know is An Introduction to Linear Analysis by Kreider, Kuller, Ostberg, and Perkins, which was published about fifty years back.

Yep.

 

[bigbadwolf]

Yep.

Ah, so you have a copy? I wasn't sure anyone here had heard of it. I've bought three copies of it over the years -- that's how valuable I consider it to be.

 

[zyz]

An electronic version: https://ia700705.us.archive.org/16/...ergPerkins-AnIntroductionToLinearAnalysis.pdf

 

[Daniel Duffy]

Ah, so you have a copy? I wasn't sure anyone here had heard of it. I've bought three copies of it over the years -- that's how valuable I consider it to be.

Yes, I used it as undergrad. Great book. For PDE and Fourier I would Tolstov's book (Dover).

In numerical analysis, the best US and Soviet books on Numerical Analysis were written in the 60s. Big budgets in those days.

 

[Francis Chan]

Hi all,

I will be joining the UCB MFE program in March 2015. To better prepare for the program, I've been asked to take courses on PDE, Numerical Analysis, and C++.

Could anyone recommend good online courses (paid or free) on these subjects? BTW, has anyone heard of the Saylor Academy? They offer free online courses (http://www.saylor.org/courses/ma222/) on these subjects, but I'm uncertain of their quality.

Thanks in advance,
Zhengnan

Hi Zhengnan,

Are you admitted with a condition?

Berkeley does offer some pre-programs, such as math foundations for financial engineers, including PDEs, probability, etc. , as well as statistics, C++ programming and Numerical Analysis courses. So I think you'd better register for the pre-program courses at Berkeley. It is the most effective way, which also definitely meet their requirement. (and I think it should be "preprogram" that they require rather than other alternatives, specifically.)

BTW, Can I know some information about your background? I am still planning to apply next year.

THX