The course aims at introducing quantitative models in finance from economics, mathematics, and physics viewpoints. Financial problems covered in the course include portfolio management, volatility estimation and modeling, optimal order execution under price impact, and interest rate related products and their modeling. In order to prepare the student into the core, part of the course offers a crash course on stochastic control theory in discrete time and the theory of statistical learning. Upon completion, students are expected to understand the quantitative models covered in the course and possess basic skills to implement the models.

• Instructor: Tai-Ho Wang
• Prerequisites: Calculus, Linear Algebra, Probability Theory, Stochastic Processes