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市場(chǎng)微結構模型專(zhuān)題--2017暑期課程介紹

發(fā)布日期：2017-04-10 11:58    來(lái)源：北京大學(xué)國家發(fā)展研究院

暑期課名稱(chēng)：市場(chǎng)微結構模型專(zhuān)題

授課教師：王太和

助教：陳赟   yunchen1221@gmail.com

     王赫  wh314@126.com

上課時(shí)間：7月3日——7月27日（暑期課第一周——第四周）周二、周四 5-8節  

上課地點(diǎn)：二教404

學(xué)分：2

授課語(yǔ)言：英語(yǔ)

先修課和其他要求:

先修課：微積分，線(xiàn)性代數，概率論，隨機過(guò)程

請下載附件準備相關(guān)軟件： 課程軟件要求

暑期課不能中期退課。本課程是金融工程課程，需要一定的數學(xué)和編程基礎。附2015年1學(xué)分的《市場(chǎng)微結構模型專(zhuān)題》課程部分課件供同學(xué)們參考： 2015暑期課課件Lec1    2015暑期課課件Lec2

 

課程介紹：

本課程旨在介紹及探討與市場(chǎng)微結構相關(guān)的數學(xué)，經(jīng)濟及物理模型。基于應用所須，本課程前一小段將著(zhù)重于隨機微積分與隨機控制理論的簡(jiǎn)介。學(xué)生修完成課程應具備對市場(chǎng)微結構模型的基礎知識及其與應用相關(guān)的技術(shù)。

The course aims at introducing market microstructure models from economics, mathematics, and physics viewpoints. In order to prepare the student into the core, the first half of the course offers a crash course on stochastic calculus and stochastic control theory. The second half will cover modeling of limit order book, price impact models, problem of optimal execution, algorithmic trading strategies, and smart order routing schemes. Upon completion, students are expected to understand the market microstructure models covered in the course and possess basic skills to implement the models.

 

基本目的:

了解市場(chǎng)微結構模型及其在實(shí)務(wù)上的應用。

 

教學(xué)大綱：

Background materials (8學(xué)時(shí)) Crash course on It?’s calculus for diffusion processes and processes with jumps Feynman-Kac’s formula Stochastic control theory Bellman’s principle and the Hamilton-Jacobi-Bellman equation Economics models (8學(xué)時(shí)) Inventory models Information based models Strategic trader models Information and the price process Market models (8學(xué)時(shí)) Limit order book modeling Market vs limit order decision Price impact of order book events Order routing algorithm Price impact models and their related optimal execution schemes (8學(xué)時(shí)) Permanent and transient impact models Optimal execution strategies Price manipulation Algorithmic trading with learning

 

學(xué)生成績(jì)評定辦法:

作業(yè): 60%, 期末考: 40%

 

教師介紹： 

王太和 (Tai-Ho Wang)

Email: tai-ho.wang@baruch.cuny.edu

Webpage: http://mfe.baruch.cuny.edu/tai-ho-wang-2/

現職: 紐約市立大學(xué)巴魯學(xué)院數學(xué)系教授, 2012/09迄今

最高學(xué)歷: 臺灣交通大學(xué)應用數學(xué)博士, 2000/06

研究方向: 數量金融及金融工程

 

經(jīng)歷:

紐約市立大學(xué)巴魯學(xué)院數學(xué)系副教授, 2008/09 ~ 2012/08

臺灣中正大學(xué)數學(xué)系副教授, 2006/09 ~ 2008/08

臺灣中正大學(xué)數學(xué)系助理教授, 2002/09 ~ 2006/08

紐約大學(xué)庫朗學(xué)院博后研究, 2001/09 ~ 2002/08

臺灣中央研究院數學(xué)所博后研究, 2000/09 ~ 2002/08

 

金融相關(guān)著(zhù)作:

1. (with Jim Gatheral) Implied Volatility from Local Volatility: A Path Integral Approach. Springer Proceedings in Mathematics & Statistics, Vol. 110, Large Deviations and Asymptotic Methods in Finance, 247-271, (2015)

2. Book Review on Nonlinear Option Pricing by J. Guyon and P. Henry-Labordère, Quantitative Finance, 15(1), 19-21, (2015)

3. (with Jim Gatheral) The Heat-Kernel Most-Likely-Path Approximation. International Journal of Theoretical and Applied Finance, 15(1), 1250001 (2012)

4. (with Jim Gatheral, Elton Hsu, Peter Laurence, and Cheng Ouyang) Asymptotics of Implied Volatility in Local Volatility Models. Mathematical Finance, 22(4), 591~620 (2012)

5. (with Peter Laurence and Sheng-Li Wang) Generalized Uncorrelated SABR Models with a High Degree of Symmetry. Quantitative Finance, 10(6), 663-679 (2010)

6. (with Peter Laurence) Sharp Distribution Free Lower Bounds for Spread Options and the Corresponding Optimal Subreplicating Portfolios. Insurance: Mathematics and Economics, 34(1), 35-47 (2009)

7. (with Peter Laurence) Distribution Free Upper Bounds for Spread Options and Market Implied Comonotonicity Gap. The European Journal of Finance, 11(8), 717-734 (2008)

8. (with Peter Carr and Peter Laurence) Generating Integrable One Dimensional Driftless Diffusions.
Comptes Rendus Mathematique Academie des Sciences, Paris., 343(6), 393-398 (2006)

9. (with Peter Laurence) Close Form Solutions for Quadratic and Inverse Quadratic Term Structure Models. International Journal of Theoretical and Applied Finance, 8(8), 1059-1083 (2005)

10. (with David Hobson and Peter Laurence) Static-arbitrage Optimal Sub-replicating Strategies for Basket Options. Insurance: Mathematics and Economics, 37, 553-572 (2005)

11. (with David Hobson and Peter Laurence) Static-arbitrage Upper Bounds for the Prices of Basket Options. Quantitative Finance, 5(4), 329-342 (2005)

12. (with Peter Laurence) Sharp Upper and Lower Bounds for Basket Options. Applied Mathematical Finance, 12(3), 253-282 (2005)

13. (with Peter Laurence) What’s a basket worth? Risk Magazine, February, 73-74 (2004)