市场微结构模型专题--2017暑期课程介绍

发布日期:2017-04-10 11:58:59    来源:北京大学国家发展研究院

暑期课名称:市场微结构模型专题

授课教师:王太和

助教:陈赟   yunchen1221@gmail.com

     王赫  wh314@126.com

上课时间:73——727(暑期课第一周——第四周)周二、周四 5-8节  

上课地点:二教404

学分:2

授课语言:英语

先修课和其他要求:

先修课:微积分,线性代数,概率论,随机过程

请下载附件准备相关软件:课程软件要求

暑期课不能中期退课。本课程是金融工程课程,需要一定的数学和编程基础。附2015年1学分的《市场微结构模型专题》课程部分课件供同学们参考:2015暑期课课件Lec1  2015暑期课课件Lec2

 

课程介绍

本课程旨在介绍及探讨与市场微结构相关的数学,经济及物理模型。基于应用所须,本课程前一小段将着重于随机微积分与随机控制理论的简介。学生修完成课程应具备对市场微结构模型的基础知识及其与应用相关的技术。

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:

了解市场微结构模型及其在实务上的应用。

 

教学大纲

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

 

学生成绩评定办法:

作业: 60%, 期末考: 40%

 

教师介绍: 

王太和 (Tai-Ho Wang)

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

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

现职: 纽约市立大学巴鲁学院数学系教授, 2012/09迄今

最高学历: 台湾交通大学应用数学博士, 2000/06

研究方向: 数量金融及金融工程

 

经历:

纽约市立大学巴鲁学院数学系副教授, 2008/09 ~ 2012/08

台湾中正大学数学系副教授, 2006/09 ~ 2008/08

台湾中正大学数学系助理教授, 2002/09 ~ 2006/08

纽约大学库朗学院博后研究, 2001/09 ~ 2002/08

台湾中央研究院数学所博后研究, 2000/09 ~ 2002/08

 

金融相关著作:

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)