Course Descriptions
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MATH-GA.1002-001 Multivariable Analysis
3 Points, Mondays, Wednesdays, 5:00-6:15PM, Hau-Tieng Wu
Description:
Linear and multilinear algebra. Differentiation and integration in several variables. Introduction to manifolds, tangent and cotangent bundle. Vector fields, differential forms, exterior derivative. curves, Integration of differential forms on a manifold, Stokes' Theorem.
Textbook:
Spivak, Calculus on Manifolds -
MATH-GA.1234-001 Cryptocurrency And Blockchains: Mathematics And Technologies (1st Half Of Semester)
3 Points, Thursdays, 7:10-9:00PM, Amir Sadr and Petter Kolm
Prerequisites: Multivariate calculus and calculus-based probability. Students should have completed Computing in Finance (MATH-GA-2401) or equivalent, have strong coding skills in Python, and working experience with the Python stack (numpy/pandas/scikit-learn).
Description: This half-semester course examines the building technologies and concepts in distributed ledger technologies and the workings of crypto financial markets.
We begin by an overview of the traditional central banking system and the mechanics of central bank money and commercial bank lending as the two dominant mechanisms of money creation. We explore the current network of banking in traditional finance (TradFi) and its hierarchy of commercial banks, central banks, correspondent banks, settlement and clearing mechanism, and the instruments used to create and transmit money.
We cover the principles of private and public key cryptography and its usage in encryption, digital signature, and message authentication. Hash functions serve as one-way functions that play a prominent role in creating message digests and solving the cryptographic puzzle in proof-of-work-based blockchains. We cover the main challenges of secure communication and typical attacks such as replay, man-in-the-middle, Sybil attacks and the cryptographic techniques used to tackle them.
Next, we take a deep-dive in the original Bitcoin whitepaper and show how the integration of cryptographic digital signatures, recursive blockchains, hash-based proof-of-work consensus mechanism to solve the 51% attack, and double-spend problem gave rise to the pioneering Bitcoin blockchain.
The Ethereum blockchain and its smart contracts have given rise to a variety of distributed apps (dApps), prominent among them decentralized exchanges (DEX) using constant function demand curves for creating automatic market-making. We cover the mechanics of these markets and concepts of swapping, liquidity pairs, yield farming and the general landscape of decentralized finance (DeFi).
Blockchain data is public by design and there is a wealth of real-time and historical data. We discuss some of the data analysis and machine learning methods utilized to analyze this type of data.
Given that blockchain is a software protocol, it is important that students taking this course have strong coding skills in Python and working experience with the Python stack (numpy/pandas/scikit-learn).
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MATH-GA.1410-003 Introduction To Math Analysis I
3 Points, Mondays, Wednesdays, 4:55-6:10PM, TBA
Description: Elements of topology on the real line. Rigorous treatment of limits, continuity, differentiation, and the Riemann integral. Taylor series. Introduction to metric spaces. Pointwise and uniform convergence for sequences and series of functions. Applications.
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MATH-GA.2010-001 Numerical Methods I
3 Points, Mondays, Wednesdays, 4:55-6:10PM, Benjamin Peherstorfer
Prerequisites: A good background in linear algebra, and some experience with writing computer programs (in MATLAB, Python or another language). MATLAB will be used as the main language for the course. Alternatively, you can also use Python for the homework assignments. You are encouraged but not required to learn and use a compiled language.
Description: This course is part of a two-course series meant to introduce graduate students in mathematics to the fundamentals of numerical mathematics (but any Ph.D. student seriously interested in applied mathematics should take it). It will be a demanding course covering a broad range of topics. There will be extensive homework assignments involving a mix of theory and computational experiments, and an in-class final. Topics covered in the class include floating-point arithmetic, solving large linear systems, eigenvalue problems, interpolation and quadrature (approximation theory), nonlinear systems of equations, linear and nonlinear least squares, nonlinear optimization, and Fourier transforms. This course will not cover differential equations, which form the core of the second part of this series, Numerical Methods II.
Recommended Text (Springer books are available online from the NYU network):
- Deuflhard, P. & Hohmann, A. (2003). Numerical Analysis in Modern Scientific Computing. Texts in Applied Mathematiks [Series, Bk. 43]. New York, NY: Springer-Verlag.
Further Reading (available on reserve at the Courant Library):
- Bau III, D., & Trefethen, L.N. (1997). Numerical Linear Algebra. Philadelphia, PA: Society for Industrial & Applied Mathematics.Quarteroni, A., Sacco, R., & Saleri, F. (2006). Numerical Mathematics (2nd ed.). Texts in Applied Mathematics [Series, Bk. 37]. New York, NY: Springer-Verlag.
If you want to brush up your MATLAB:
- Gander, W., Gander, M.J., & Kwok, F. (2014). Scientific Computing – An Introduction Using Maple and MATLAB. Texts in Computation Science and Engineering [Series, Vol. 11]. New York, NY: Springer-Verlag.
- Moler, C. (2004). Numerical Computing with Matlab. SIAM. Available online.
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MATH-GA.2041-001 Computing In Finance
3 Points, Thursdays, 7:10-9:00PM, Lee Maclin
Prerequisites: Completion of a Python summer assignment and relevant self-study.
Description: The purpose of this course is threefold: It will teach students the popular Python programming language. Students will learn the five most important concepts of modern, object-oriented software development: testing, data structures, design, working with data, and distributed computing. All of the examples used in class will have a financial context. Projects we will work on include developing a toy exchange, building a framework for managing live price data, and tools for preparing high frequency data for simulations and backtests. Additional topics include Google’s Firebase realtime database and using Python to work with SQL. Students will make extensive use of the Anki study system to gauge their own progress and prepare for tests. Please note that students who sign up for this course should prepare by completing a summer assignment. -
MATH-GA.2043-001 Scientific Computing
3 Points, Tuesdays, Thursdays, 4:55-6:10PM, Jonathan Goodman
Prerequisites: Undergraduate multivariate calculus and linear algebra. Programming experience strongly recommended but not required.
Description: This course is intended to provide a practical introduction to computational problem solving. Topics covered include: the notion of well-conditioned and poorly conditioned problems, with examples drawn from linear algebra; the concepts of forward and backward stability of an algorithm, with examples drawn from floating point arithmetic and linear-algebra; basic techniques for the numerical solution of linear and nonlinear equations, and for numerical optimization, with examples taken from linear algebra and linear programming; principles of numerical interpolation, differentiation and integration, with examples such as splines and quadrature schemes; an introduction to numerical methods for solving ordinary differential equations, with examples such as multistep, Runge Kutta and collocation methods, along with a basic introduction of concepts such as convergence and linear stability; An introduction to basic matrix factorizations, such as the SVD; techniques for computing matrix factorizations, with examples such as the QR method for finding eigenvectors; Basic principles of the discrete/fast Fourier transform, with applications to signal processing, data compression and the solution of differential equations.
This is not a programming course but programming in homework projects with MATLAB/Octave and/or C is an important part of the course work. As many of the class handouts are in the form of MATLAB/Octave scripts, students are strongly encouraged to obtain access to and familiarize themselves with these programming environments.
Recommended Texts:
- Bau III, D., & Trefethen, L.N. (1997). Numerical Linear Algebra. Philadelphia, PA: Society for Industrial & Applied Mathematics
- Quarteroni, A.M., & Saleri, F. (2006). Texts in Computational Science & Engineering [Series, Bk. 2]. Scientific Computing with MATLAB and Octave (2nd ed.). New York, NY: Springer-Verlag
- Otto, S.R., & Denier, J.P. (2005). An Introduction to Programming and Numerical Methods in MATLAB. London: Springer-Verlag London
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MATH-GA.2046-001 Advanced Statistical Inference And Machine Learning
3 Points, Wednesdays, 5:10-7:00PM, Gordon Ritter
Prerequisites: The following four courses, or equivalent: (1) Data Science and Data-Driven Modeling, (2) Financial Securities and Markets, (3) Machine Learning & Computational Statistics, and (4) Risk and Portfolio Management. It is important you have experience with the Python stack.
Description: A rigorous background in Bayesian statistics geared towards applications in finance. The early part of the course will cover the Bayesian approach to modeling, inference, point estimation, and forecasting, sufficient statistics, exponential families and conjugate priors, and the posterior predictive density. We will then undertake a detailed treatment of multivariate regression including Bayesian regression, variable selection techniques, multilevel/hierarchical regression models, and generalized linear models (GLMs). We will continue to discuss Bayesian networks and belief propagation with applications to machine learning and prediction tasks. Solution techniques include Markov Chain Monte Carlo methods, Gibbs Sampling, the EM algorithm, and variational mean field theory. We shall then introduce reinforcement learning with applications to transaction cost minimization and realistic optimal hedging of derivatives. Real world examples will be given throughout the course, including portfolio optimization with transaction costs, and a selection of the most important prediction tasks arising in buy-side quant trading. -
MATH-GA.2047-001 Trends In Financial Data Science
3 Points, Tuesdays, 5:10-7:00PM, Ivailo Dimov and Petter Kolm
Prerequisites: The following four courses, or equivalent: (1) Data Science and Data-Driven Modeling, (2) Financial Securities and Markets, (3) Machine Learning & Computational Statistics, and (4) Risk and Portfolio Management. It is important you have experience with the Python stack.
Course description: This is a full semester course covering recent and relevant topics in alternative data, machine learning and data science relevant to financial modeling and quantitative finance. This is an advanced course that is suitable for students who have taken the more basic graduate machine learning and finance courses Data Science and Data-Driven Modeling, and Machine Learning & Computational Statistics, Financial Securities and Markets, and Risk and Portfolio Management.
For the syllabus for the course, click HERE.
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MATH-GA.2049-001 Alternative Data In Quantitative Finance (2nd Half Of Semester)
3 Points, Thursdays, 7:10-9:00PM, Gene Ekster
Prerequisites: Risk and Portfolio Management; and Computing in Finance. In addition, students should have a working knowledge of statistics, finance, and basic machine learning. Students should have working experience with the Python stack (numpy/pandas/scikit-learn).
Description: This half-semester elective course examines techniques dealing with the challenges of the alternative data ecosystem in quantitative and fundamental investment processes. We will address the quantitative tools and technique for alternative data including identifier mapping, stable panel creation, dataset evaluation and sensitive information extraction. We will go through the quantitative process of transferring raw data into investment data and tradable signals using text mining, time series analysis and machine learning. It is important that students taking this course have working experience with Python Stack. We will analyze real-world datasets and model them in Python using techniques from statistics, quantitative finance and machine learning. -
MATH-GA.2070-001 Data Science And Data-Driven Modeling (1st Half Of Semester)
3 Points, Tuesdays, 7:10-9:00PM, Christos Koutsoyannis
Prerequisties: Student needs to have taken math courses in multivariate calculus, linear algebra, and calculus-based probability. In addition, they need to have taken a computer science / programming course.
Description: This is a half-semester course covering practical aspects of econometrics/statistics and data science/machine learning in an integrated and unified way as they are applied in the financial industry. We examine statistical inference for linear models, supervised learning (Lasso, ridge and elastic-net), and unsupervised learning (PCA- and SVD-based) machine learning techniques, applying these to solve common problems in finance. In addition, we cover model selection via cross-validation; manipulating, merging and cleaning large datasets in Python; and web-scraping of publicly available data.
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MATH-GA.2110-001 Linear Algebra I
3 Points, Tuesdays, Thursdays, 4:55-6:10PM, Pax Kivimae
Prerequisites:
Undergraduate linear algebra or permission of the instructor.
Description:
Linear spaces, subspaces. Linear dependence, linear independence; span, basis, dimension, isomorphism. Quotient spaces. Linear functionals, dual spaces. Linear mappings, null space, range, fundamental theorem of linear algebra. Underdetermined systems of linear equations. Composition, inverse, transpose of linear maps, algebra of linear maps. Similarity transformations. Matrices, matrix Multiplication, Matrix Inverse, Matrix Representation of Linear Maps determinant, Laplace expansion, Cramer's rule. Eigenvalue problem, eigenvalues and eigenvectors, characteristic polynomial, Cayley-Hamilton theorem. Diagonalization.
Text:
Lax, P.D. (2007). Pure and Applied Mathematics: A Wiley Series of Texts, Monographs and Tracts [Series, Bk. 78]. Linear Algebra and Its Applications (2nd ed.). Hoboken, NJ: John Wiley & Sons/ Wiley-Interscience. -
MATH-GA.2111-001 Linear Algebra (One-Term)
3 Points, Mondays, Wednesdays, 11:00-12:15PM, Alan Kaptanoglu
Prerequisites: Undergraduate linear algebra.
Description: Linear algebra is two things in one: a general methodology for solving linear systems, and an abstract structure underlying much of mathematics and the sciences. The course will assume that students have already had a course on linear algebra, and will be more advanced, focusing on analytical issues such as the behavior of eigenvalues
and eigenfunctions.Recommended Text: Strang, G. (2005). Linear Algebra and Its Applications (4th ed.). Stamford, CT: Cengage Learning. Lax, P.D. (2007). Pure and Applied Mathematics: A Wiley Series of Texts, Monographs and Tracts [Series, Bk. 78].
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MATH-GA.2130-001 Algebra I
3 Points, Mondays, Wednesdays, 3:30-4:45PM, Fedor Bogomolov
Prerequisites: Elements of linear algebra and the theory of rings and fields.
Description: Basic concepts of groups, rings and fields. Symmetry groups, linear groups, Sylow theorems; quotient rings, polynomial rings, ideals, unique factorization, Nullstellensatz; field extensions, finite fields.
Recommended Texts:
- Artin, M. (2010). Featured Titles for Abstract Alagebra [Series]. Algebra (2nd ed.). Upper Saddle River, NJ: Pearson
- Chambert-Loir, A. (2004). Undergraduate Texts in Mathematics [Series]. A Field Guide to Algebra (2005 ed.). New York, NY: Springer-Verlag
- Serre, J-P. (1996). Graduate Texts in Mathematics [Series, Vol. 7]. A Course in Arithmetic (Corr. 3rd printing 1996 ed.). New York, NY: Springer-Verlag
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MATH-GA.2310-001 Topology I
3 Points, Mondays, Wednesdays, 9:30-10:45AM, Valentino Tosatti
Prerequisites: Undergraduate analysis and algebra at the level of MATH-UA 325 Analysis and MATH-UA 343 Algebra are strongly recommended. Undergraduate students planning to take this course must have MATH-UA 343 Algebra and MATH-UA 325 Analysis (or the respective Honors versions) or permission of the Department.
Course Description: After introducing metric spaces and topological spaces, the emphasis will be on the algebraic topology of manifolds and cell complexes. Elements of algebraic topology to be covered include fundamental groups and covering spaces, and homotopy. Additional material may be covered at the discretion of the instructor, such as degree theory, transversality and intersection theory, and examples from knot theory.
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MATH-GA.2350-001 Differential Geometry I
3 Points, Mondays, Wednesdays, 2:00-3:15PM, Jeff Cheeger
Prerequisites: Multivariable calculus and linear algebra.
Description: Differentiable manifolds, tangent bundle, embedding theorems, vector fields and differential forms. Introduction to Riemannian metrics, connections and geodesics.
Text: Lee, J.M. (2009). Graduate Studies in Mathematics [Series, Vol. 107]. Manifolds and Differential Geometry. Providence, RI: American Mathematical Society.
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MATH-GA.2400-001 Advanced Topics In Geomtery: TBA
3 Points, Mondays, Wednesdays, 9:30-10:45AM, Mikhael Gromov
Description TBA -
MATH-GA.2400-002 Advanced Topics In Geomtery: TBA
3 Points, Tuesdays, Thursdays, 9:30-10:45AM, Mikhael Gromov
Description TBA -
MATH-GA.2430-001 Real Variables I
3 Points, Mondays, Wednesdays, 9:30-10:45AM, Tristan Buckmaster
Note: Master's students need permission of course instructor before registering for this course.
Prerequisites: A familiarity with rigorous mathematics, proof writing, and the epsilon-delta approach to analysis, preferably at the level of MATH-GA 1410, 1420 Introduction to Mathematical Analysis I, II.
Description: Measure theory and integration. Lebesgue measure on the line and abstract measure spaces. Absolute continuity, Lebesgue differentiation, and the Radon-Nikodym theorem. Product measures, the Fubini theorem, etc. Lp spaces, Hilbert spaces, and the Riesz representation theorem. Fourier series.
Main Text: Folland's Real Analysis: Modern Techniques and Their Applications
Secondary Text: Bass' Real Analysis for Graduate Students
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MATH-GA.2450-001 Complex Variables I
3 Points, Tuesdays, Thursdays, 9:30-10:45AM, Deane Yang
Prerequisites: Advanced calculus (or equivalent).
Description: Complex numbers; analytic functions; Cauchy-Riemann equations; Cauchy's theorem; Laurent expansion; analytic continuation; calculus of residues; conformal mappings.
Text: Marsden and Hoffman, Basic Complex Analysis, 3d edition
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MATH-GA.2490-001 Introduction To Partial Differential Equations
3 Points, Mondays, Wednesdays, 2:00-3:15PM, Fanghua Lin
Description TBA -
MATH-GA.2650-001 Advanced Topics In Analysis: TBA
3 Points, Mondays, Wednesdays, 11:00-12:15PM, Jalal Shatah
Description TBA -
MATH-GA.2701-001 Methods Of Applied Math
3 Points, Mondays, Wednesdays, 11:00-12:15PM, Alex Mogilner
Description TBA -
MATH-GA.2702-001 Fluid Dynamics
3 Points, Mondays, Wednesdays, 12:30-1:45PM, Esteban Tabak
Description TBA -
MATH-GA.2707-001 Time Series Analysis & Statistical Arbitrage
3 Points, Mondays, 5:10-7:00PM, Farshid Asl
Description TBA -
MATH-GA.2751-001 Risk & Portfolio Management
3 Points, Wednesdays, 5:10-7:00PM, Kenneth Winston
Description TBA -
MATH-GA.2755-001 Project & Presentation
3 Points, Petter Kolm
Description TBA -
MATH-GA.2791-001 Financial Securities And Markets
3 Points, Wednesdays, 7:10-9:00PM, Mehdi Sonthonnax
Description TBA -
MATH-GA.2793-001 Dynamic Asset Pricing (2nd Half Of Semester)
3 Points, Mondays, 7:10-9:00PM, Samim Ghamami
Description TBA -
MATH-GA.2803-001 Fixed Income Derivatives: Models & Strategies In Practice (1st Half Of Semester)
3 Points, Mondays, 7:10-9:00PM, Leon Tatevossian
Description TBA -
MATH-GA.2805-001 Trends In Sell-Side Modeling: Xva, Capital And Credit Derivatives
3 Points, Tuesdays, 5:10-7:00PM, Irena Khrebtova
Description TBA -
MATH-GA.2830-001 Advanced Topics In Applied Math: TBA
3 Points, Mondays, Wednesdays, 12:30-1:45PM, Charles Peskin
Prerequisite:
Familiarity with numerical methods and fluid dynamics.The immersed boundary (IB) method is a general framework for the
computer simulation of flows with immersed elastic boundaries and/or
complicated geometry. It was originally developed to study the fluid
dynamics of heart valves, and it has since been applied to a wide
variety of problems in biofluid dynamics, such as wave propagation in
the inner ear, blood clotting, swimming of creatures large and small,
and the flight of insects. Non-biological applications include sails,
parachutes, flows of suspensions, and two-fluid or multifluid
problems.Topics to be covered include: mathematical formulation of
fluid-structure interaction in Eulerian and Lagrangian variables, with
interaction equations involving the Dirac delta function;
discretization of the structure, fluid, and interaction equations,
including energy-based finite-element or finite-difference
discretization of the structure equations, finite-difference
discretization of the fluid equations, and IB delta functions with
specified mathematical properties; a simple but effective method for
adding mass to an immersed boundary; numerical simulation of rigid
immersed structures or immersed structures with rigid parts; IB
methods for immersed filaments with bend and twist; and a stochastic
IB method for thermally fluctuating hydrodynamics within biological
cells, and the direct numerical simulation of osmotic phenomena. Some
recent developments to be covered include stability analysis of the IB
method and a Fourier-Spectral IB method with improved boundary
resolution. The challenge of making the IB method implicit so that
larger time steps can be taken will be discussed. The IB method also
has electrical applications. Two of these that will be discussed, if
time permits, are cardiac electrophysiology and the direct numerical
simulation of ions in solution.Course requirements include homework assignments and a computing
project, but no exam. Students may collaborate on the homework and on
the computing project, and are encouraged to present the results of
their computing projects to the class.Text:
The Immersed Boundary Method. Lecture notes freely available at:
http://www.math.nyu.edu/faculty/peskin/ib_lecture_notes/index.html -
MATH-GA.2830-004 Advanced Topics In Applied Math: Mathematical Statistics
3 Points, Tuesdays, 12:00-1:40PM, Jonathan Jonathan Niles-Weed
Description TBA -
MATH-GA.2830-005 Advanced Topics In Applied Math: Mathematical Statistics Lab
3 Points, Thursdays, 3:45-4:35PM, TBA
Description TBA -
MATH-GA.2901-001 Essentials Of Probability
3 Points, Mondays, Wednesdays, 3:30-4:45PM, Gerard Ben Arous
Description TBA -
MATH-GA.2903-001 Stochastic Calculus (2nd Half Of Semester)
3 Points, Mondays, 7:10-9:00PM, Alexey Kuptsov
Prerequisite: Multivariate calculus, linear algebra, and calculus-based probability.
Description: The goal of this half-semester course is for students to develop an understanding of the techniques of stochastic processes and stochastic calculus as it is applied in financial applications. We begin by constructing the Brownian motion (BM) and the Ito integral, studying their properties. Then we turn to Ito’s lemma and Girsanov’s theorem, covering several practical applications. Towards the end of the course, we study the linkage between SDEs and PDEs through the Feynman-Kac equation. It is important that students taking this course have good working knowledge of calculus-based probability. -
MATH-GA.2911-001 Probability Theory I
3 Points, Mondays, Wednesdays, 11:00-12:15PM, Roland Bauerschmidt
Prerequisites: A first course in probability, familiarity with Lebesgue integral, or MATH-GA 2430 Real Variables as mandatory co-requisite.
Description: First semester in an annual sequence of Probability Theory, aimed primarily for Ph.D. students. Topics include laws of large numbers, weak convergence, central limit theorems, conditional expectation, martingales and Markov chains.
Recommended Text:
S.R.S. Varadhan, Probability Theory (2001).
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MATH-GA.2931-001 Advanced Topics In Probability: Random Matrix Universality
3 Points, Tuesdays, Thursdays, 12:30-1:45PM, Paul Bourgade
Description TBA -
MATH-GA.3001-001 Geophysical Fluid Dynamics
3 Points, Tuesdays, Thursdays, 9:30-10:45AM, Yi Zhang
Description:
This course serves as an introduction to the fundamentals of geophysical fluid dynamics. No prior knowledge of fluid dynamics will be assumed, but the course will move quickly into the subtopic of rapidly rotating, stratified flows. Topics to be covered include (but are not limited to): the advective derivative, momentum conservation and continuity, the rotating Navier-Stokes equations and non-dimensional parameters, equations of state and thermodynamics of Newtonian fluids, atmospheric and oceanic basic states, the fundamental balances (thermal wind, geostrophic and hydrostatic), the rotating shallow water model, vorticity and potential vorticity, inertia-gravity waves, geostrophic adjustment, the quasi-geostrophic approximation and other small-Rossby number limits, Rossby waves, baroclinic and barotropic instabilities, Rayleigh and Charney-Stern theorems, geostrophic turbulence. Students will be assigned bi-weekly homework assignments and some computer exercises, and will be expected to complete a final project. This course will be supplemented with out-of-class instruction.
Recommended Texts:
- Vallis, G.K. (2006). Atmospheric and Oceanic Fluid Dynamics: Fundamentals and Large-scale Circulation. New York, NY: Cambridge University Press.
- Salmon, R. (1998). Lectures on Geophysical Fluid Dynamics. New York, NY: Oxford University Press.
- Pedlosky, J. (1992). Geophysical Fluid Dynamics (2nd ed.). New York, NY: Springer-Verlag.