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NOTE: there has been a room change - all lectures, tutorials, etc. will take place in ETC 2.136 from now on. Click here for directions.

This is a three-week program on financial mathematics for advanced undergraduate and 1st year graduate students.

• The first two weeks will contain 4 short courses, each consisting of 3-4 one-and-a-half-hour lectures. The lectures will be complemented by tutorial sessions in the afternoons conducted by senior graduate students from The University of Texas. In addition, the students will work on group projects dealing with mathematical problems from financial theory and practice.
  
• The last week will be a workshop that aims to give an overview of current research activities in financial mathematics and related fields.
  

The prerequisites for the course are advanced calculus, linear algebra and undergraduate probability. Familiarity with elementary stochastic processes and fundamental financial concepts is helpful, but not required.

Portuguese students should contact Diogo Gomes (dgomes@math.ist.ut.pt) for applying for funding under the UT Austin/Portugal (CoLab) program.

Organizers: Kathy Davis, Gerard Brunick, Mihai Sirbu, Thaleia Zariphopoulou and Gordan Zitkovic.

Thanks: Prof. Lexing Ying and Maorong Zou for help with the design of this website.

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Calendar of events

Use the calendar below to access information about the schedule of classes, tutorials, problem sessions, talks, presentations, social events, and more. Use the controls to navigate to the desired time/date. Make sure to scroll all the way up - some lectures start as early as 9:30am.

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Courses (the first two weeks)

1. Introduction to Stochastics
by Mihai Sirbu (The University of Texas at Austin)

• hw1 (practice problems for lecture 1)
• hw2 (practice problems for lecture 2)
• hws3and4 (practice problems for lectures 3 and 4)

2. Introduction to Financial Economics
by Gordan Zitkovic (The University of Texas at Austin)

• slides (will be updated each day)
• hw1 (practice problems for lecture 1)
• hw2 (practice problems for lecture 2)
• hw3 (practice problems for lecture 3)
• hw4 (practice problems for lecture 4)
• hw5 (practice problems for lecture 5)

3. Pricing in Complete Markets
by Gerard Brunick (The University of Texas at Austin)

• hw1 (practice problems for lecture 1 with solutions)
• hw2 (practice problems for lecture 2 with solutions)
• hw3 (practice problems for lecture 3 with solutions)

4. Investments and Pricing in Incomplete Markets
by Thaleia Zariphopoulou (The University of Texas at Austin)

5. Various Tutorials (notes)

• Scanned notes for the tutorial on PDE by Elizabeth Thoren.
• Some matlab code for the numerics tutorial: cn.m ftcs.m

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Workshop (the third week)

There will be 5 hour-long research talks during the third week (see the schedule above for the times). Each talk will be given by a faculty member either from the Department of Mathematics, or the McCombs School of Business, UT Austin. The purpose of these talks is to expose the students to the current research in quantitative and mathematical finance.

• Stathis Tompaidis (IROM, McCombs School of Business)
   "Market Imperfections, Investment Optionality, and Credit Spreads"
  
  
• Gordan Zitkovic (Department of Mathematics)
    "Stochastic Financial Equilibria" slides
  
  
• Mihai Sirbu (Department of Mathematics)
    "Optimal investment on finite horizon with random discrete order flow in illiquid markets"
  
  
• Rafael Mendoza-Arriaga (IROM, McCombs School of Business)
    TBA
  
  
• Gerard Brunick (Department of Mathematics)
    TBA
  
  

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Travel and Accommodation

The grant will provide on-campus accommodation and a meal allowance. Travel assistance may be available by request and on a case-by-case basis. (Only original receipts will be accepted for reimbursement purposes.)

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Contact Information

The CoLab participants from Portugal should contact:
Prof. Diogo Aguiar Gomes (dgomes@math.ist.utl.pt).

All other participants should contact:
Prof. Gordan Zitkovic (gordanz@math.utexas.edu).

For questions regarding travel and accommodation, please contact:
Mrs. Lizanne McClenon, MA (mcclenon@math.utexas.edu).