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 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.

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.

Courses (the first two weeks)

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

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

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

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

5. Various Tutorials (notes)

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.

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.)

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

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