methods in numerical integration, numerical solution of linear systems, and matrix eigenvalue problems. Stresses significant computer applications and software. Prereqs., APPM 3310 or MATH 3130, and ...

An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing high quantiles and conditional Value at Risk (VaR) of compound distributions using characteristic ...

methods in numerical integration, numerical solution of linear systems, and matrix eigenvalue problems. Stresses significant computer applications and software. Department enforced prerequisite: ...