| Name | Office | Office Hours | |
|---|---|---|---|
| George Papanicolaou | 380-383V | Tuesdays 3:00-5:00pm and by appointment or email | papanicolaou at stanford dot edu |
| Name | Office Hours | |
|---|---|---|
| Emile Clastres | TBD | clastres at stanford dot edu |
The textbook for the course is: " Arbitrage Theory in Continuous Time ", by T. Bjork (2009 edition Oxford University Press). 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). A short but very interesting book is " Optimal Investment ", by Chris Rogers (Springer 2013).
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 a take-home final exam or project. It will be posted on the web on Friday March 4 and it is due on Friday March 18 by 5:00 pm. Grades are due on March 22. The take home final must be submitted on Canvas in PDF form. The take-home final counts for 60 percent of the grade. The homeworks count for 40 percent of the grade. I will give homework sets every other week, beginning on January 7, and they will be due two weeks later. The CA will grade the homeworks. I will also read the homeworks. We will provide solutions to all the homework problems a day or so after they are submitted.