Unpublished, 2013. — 388 p.This book is assembled from lectures given by the author over a period of 10 years at the School of Computing of DePaul University. The lectures cover multiple classes, including Analysis and Design of Algorithms, Scientiﬁc Computing, Monte Carlo Simulations, and Parallel Algorithms. These lectures teach the core knowledge required by any scientist interested in numerical algorithms and by students interested in computational ﬁnance.The notes are not comprehensive, yet they try to identify and describe the most important concepts taught in those courses using a few common tools and uniﬁed notation.In particular, these notes do not include proofs; instead, they provide deﬁnitions and annotated code. The code is built in a modular way and is reused as much as possible throughout the book so that no step of the computations is left to the imagination. Each function deﬁned in the code is accompanied by one or more examples of practical applications. We take an interdisciplinary approach by providing examples in ﬁnance, physics, biology, and computer science. This is to emphasize that, although we often compartmentalize knowledge, there are very few ideas and methodologies that constitute the foundations of them all. Ultimately, this book is about problem solving using computers.
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