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sidenav header background2014-2015学年暑期学校选课通知
发布日期：2015-04-17 11:36 来源：北京大学国家发展研究院
根据校历安排，2015年北京大学暑期学校于7月13日——8月14日期间举行，国家发展研究院本次暑期学校邀请纽约城市大学柏鲁克学院金融工程项目的王太和教授开设《Topics in Market Microstructure Models》，该课程共十六学时，计一学分，上课时间为7月13日起每周二、四下午5-8节，共两周。
在读双学位学生请于2015年4月20日10：00——5月4日24：00登录双学位选课平台http://ss.nsd.pku.edu.cn:8080/ccer/CourseCCER/CourseCCER.html进行选课。此次选课使用意愿点排序方式进行筛选，初选结果可于5月5日10：00后登录该系统查询。5月6日9:00——5月10日24:00期间可进行退换课。
注意事项：
1、请用IE浏览器登录选课系统。
2、由于学校教务部的网络与中心使用的选课平台尚未实现联网，选课结果仍需在学校教务网进行最终核对，请于5月12日登录：http://dean.pku.edu.cn/ 核对选课结果。若发现问题请于5月13日16：00之前致电62758978、62753082联系双学位办公室进行更正，逾期则无法修改。若不核对造成不正确的选课结果，责任自负。
课程介绍：
The course aims at introducing market microstructure models from economics, mathematics, and physics viewpoints. In order to prepare the student into the core, the course also offers a crash course on stochastic calculus and stochastic control theory. Upon completion, students are expected to understand the market microstructure models covered in the course and possess basic skills to implement the models.
Course Policy: Homework will be assigned every meeting. Students are encouraged to discuss the homework with other students. No late homework will be accepted unless previous arrangements have been made.
Grading: The course is graded based on homework assignments and the final exam according to the formula: Grade = HW * 60% + Final * 40%
Cheating: There is a zero-tolerance policy on cheating. Academic dishonesty, including but not restricted to cheating, forgery, plagiarism and collusion in dishonest acts, is unacceptable and will not be tolerated. Anyone caught cheating on a homework or test will receive a grade F for the course.
Prerequisites: Students are expected to have taken advanced mathematics courses, or with equivalent skills, such as multivariate calculus, linear algebra, and probability and stochastic processes. Though not required, previous exposures to martingale theory and stochastic calculus is an advantage.
Syllabus
• Background materials
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
1. Inventory models
2. Information based models
3. Strategic trader models
• Market models
1. Limit order book modeling
2. Market vs limit order decision
3. Order routing algorithm
• Price impact models and their related optimal execution schemes
1. Permanent and transient impact models
2. Optimal execution strategies
3. Price manipulation
教师简介：
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: 纽约市立大学柏鲁克学院数学系教授, 2012/09迄今
最高学历: 台湾交通大学应用数学博士, 2000/06
经历:
纽约市立大学柏鲁克学院数学系副教授, 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. To appear in Springer Proceedings in Mathematics & Statistics, Vol. 110, Large Deviations and Asymptotic Methods in Finance
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)
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教学项目展开 / 收起
sidenav background教学项目
sidenav header background2014-2015学年暑期学校选课通知
发布日期：2015-04-17 11:36 来源：北京大学国家发展研究院
根据校历安排，2015年北京大学暑期学校于7月13日——8月14日期间举行，国家发展研究院本次暑期学校邀请纽约城市大学柏鲁克学院金融工程项目的王太和教授开设《Topics in Market Microstructure Models》，该课程共十六学时，计一学分，上课时间为7月13日起每周二、四下午5-8节，共两周。
在读双学位学生请于2015年4月20日10：00——5月4日24：00登录双学位选课平台http://ss.nsd.pku.edu.cn:8080/ccer/CourseCCER/CourseCCER.html进行选课。此次选课使用意愿点排序方式进行筛选，初选结果可于5月5日10：00后登录该系统查询。5月6日9:00——5月10日24:00期间可进行退换课。
注意事项：
1、请用IE浏览器登录选课系统。
2、由于学校教务部的网络与中心使用的选课平台尚未实现联网，选课结果仍需在学校教务网进行最终核对，请于5月12日登录：http://dean.pku.edu.cn/ 核对选课结果。若发现问题请于5月13日16：00之前致电62758978、62753082联系双学位办公室进行更正，逾期则无法修改。若不核对造成不正确的选课结果，责任自负。
课程介绍：
The course aims at introducing market microstructure models from economics, mathematics, and physics viewpoints. In order to prepare the student into the core, the course also offers a crash course on stochastic calculus and stochastic control theory. Upon completion, students are expected to understand the market microstructure models covered in the course and possess basic skills to implement the models.
Course Policy: Homework will be assigned every meeting. Students are encouraged to discuss the homework with other students. No late homework will be accepted unless previous arrangements have been made.
Grading: The course is graded based on homework assignments and the final exam according to the formula: Grade = HW * 60% + Final * 40%
Cheating: There is a zero-tolerance policy on cheating. Academic dishonesty, including but not restricted to cheating, forgery, plagiarism and collusion in dishonest acts, is unacceptable and will not be tolerated. Anyone caught cheating on a homework or test will receive a grade F for the course.
Prerequisites: Students are expected to have taken advanced mathematics courses, or with equivalent skills, such as multivariate calculus, linear algebra, and probability and stochastic processes. Though not required, previous exposures to martingale theory and stochastic calculus is an advantage.
Syllabus
• Background materials
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
1. Inventory models
2. Information based models
3. Strategic trader models
• Market models
1. Limit order book modeling
2. Market vs limit order decision
3. Order routing algorithm
• Price impact models and their related optimal execution schemes
1. Permanent and transient impact models
2. Optimal execution strategies
3. Price manipulation
教师简介：
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: 纽约市立大学柏鲁克学院数学系教授, 2012/09迄今
最高学历: 台湾交通大学应用数学博士, 2000/06
经历:
纽约市立大学柏鲁克学院数学系副教授, 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. To appear in Springer Proceedings in Mathematics & Statistics, Vol. 110, Large Deviations and Asymptotic Methods in Finance
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)
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