Prerequisites for the course are math 236 (SDE) as well as probability at the level of Probability and Random Processes (Paperback) by Geoffrey R. Grimmett and David R. Stirzaker, Oxford University Press, and partial differential equations at the level of W. Strauss' book (Partial Differential Equations, Wiley, 1992) (math 227). The book by T. Bjork, Arbitrage Theory in Continuous time, used in math 238, is a general reference for background in mathematical finance.
| Name | Office | Phone | Office Hours | |
|---|---|---|---|---|
| George Papanicolaou | 383V | 723-2081 | Thursday 2:00-4:00pm and by appointment | papanico at math dot stanford dot edu |
There is no texbook in this class.
There is a set of notes for this class that was used a previous class. I will be writing notes for the lectures and posting them as we get into the material.
The course grade will be based on a written preparation and an oral presentation of a project. There is no final or other exam.
You must submit a one-page proposal for the project by May 3. The reports will be presented in class during the period May 14-June 5. You can do a project jointly with one partner, if you want. The projects can be the presentation of special topics not covered in class, dealing for example with special models, calibration or computational issues, etc. You can see what was done last year (2011) by going to the special directory online (access with password).