| 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 | |
|---|---|---|---|---|
| Justin Sirignano (MSE) and Dmitry Smelov (MSE) | No phone | (JS) Tu 4-6pm, Huang 219; (DS) Wed 4-6pm, Huang B011 | jasirign at stanford dot edu and dsmelov 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 (derivative pricing) 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 that will be posted on the web site.
There will be an in-class (closed books and notes) mid-term exam on Thursday, February 7. It will be based on the material presented up until that time in class. The mid-term exam will be 25 percent of the grade. There will be an in-class final exam (closed books and notes) during the week of March 18. The exact date and time will be posted as soon as I have it. The final counts for 50 percent of the grade. The homeworks count for 25 percent of the grade. I will give homework sets (nearly) each week, beginning on January 10, and they will be due one week later. The CAs will grade the homeworks. I will also read the homeworks. We will provide solutions to the homework problems one week after they are posted.