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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 threeweek program on financial mathematics for advanced undergraduate and 1st year graduate students.
 The first two weeks will
contain 4 short courses, each consisting of 34 oneandahalfhour 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.
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)
 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
Workshop (the third week)
There will be 5 hourlong 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 MendozaArriaga
(IROM, McCombs School of Business)
TBA

Gerard Brunick
(Department of Mathematics)
TBA
Travel and Accommodation
The grant will provide oncampus accommodation and a meal allowance. Travel assistance may be available by request and on a casebycase 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 (gordanz@math.utexas.edu).
For questions regarding travel and accommodation, please contact:
Mrs. Lizanne McClenon, MA (mcclenon@math.utexas.edu).