Prerequisites (recommended but enforced) 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 | Tuesday 2:00-4:00pm and by appointment and email | papanico at math dot stanford dot edu |
The book recommended is "Algorithmic and High-Frequency Trading" by Cartea, Jaimungal, and Penalva, published by Cambridge University Press in 2015. It can be gotten from Amazon.
Another interesting book is "Trades, Quotes and Prices: Financial Markets Under the Microscope" by Bouchaud, Bonart, Donier, and Gould, also published by Cambridge University Press, in 2018.
There will be papers posted on the website of the class that cover specific material covered including notes.
The course grade will be based on a written preparation (slides) and an oral presentation (40 minutes or so) of a project. There is no final or other exam or homework.
You must submit (by email) a one-page proposal for the project by May 3. The proposal includes the research paper(s) to be studied and an outline. The reports will be presented in class during May. 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, data or empirical and computational issues, etc.