| Name | Office | Phone | Office Hours | |
|---|---|---|---|---|
| George Papanicolaou | 383V | 723-2081 | Tuesdays 4:00-6:00pm and by appointment or email | papanico at math dot stanford dot edu |
| Name | Office | Phone | Office Hours | |
|---|---|---|---|---|
| Dai Shi (ICME) and Tzu-Wei Yang (ICME) | both in 380-382P | No phone | (DS) Wed 4-6pm; (TWY) FRI 11am-1pm | shidai at stanford dot edu and twyang at stanford dot edu |
The textbook for the course is: " Arbitrage Theory in Continuous Time ", by T. Bjork (new edition OUP 2009). Other useful, introductory texts are: " The Concepts and Practice of Mathematical Finance ", by M.S. Joshi (CUP 2003), and "The Mathematics of Financial Derivatives, A Student Introduction", by Wilmott, Howison and Dewynne (Cambridge University Press 1995), primarily the second half of this book, and the very popular " Options, Futures, and Other Derivatives ", by J.C. Hull (Prentice Hall 2002, fifth edition). Another popular book with suprisingly useful insights is "Frequently Asked Questions in Quantitative Finance", by Paul Wilmott (Wiley, 2007).
In the first part of the course the lectures are based on the first two chapters of "Multiscale Stochastic Volatility for Equite, Interest Rate, and Credit Derivatives" by Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Solna (Cambridge University Press 2011). Some material on special topics is provided in Notes.
There will be an in-class mid-term exam on Tuesday, February 7. It will be based on the material presented up until that time in class. The mid-term exam will be 30 percent of the grade. The rest of the course grade will be based on the homeworks and a take-home final exam, which will count for 40 percent and 30 percent, respectively. I will give homework sets each week, beginning on January 12, and they will be due one week later. The CA will grade the homeworks. I will also read the homeworks. We will provide solutions to the homework problems one week after they are posted.