INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
28/08/2017 - 21:10

IAM751 - Special Topics: Financial Mathematics of Market Liquidity

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Devin Sezer
Prerequisites: Consent of the instructor.

Course Catalogue Description

This course is an introduction to the mathematical formulation and treatment of problems arising from trade execution in financial markets. When there are costs and constraints imposed on the execution of trades, how to best execute them? The course studies mathematical formulations and solutions of these types of problems.

Course Objectives

Having a working knowledge of the topics listed in the course outline.

Course Learning Outcomes

This course is a first step towards
  • an in-depth study of the mathematics of market liquidity and
  • working on research problems in this field

Tentative (Weekly) Outline

  1. Organization of markets
  2. Optimal liquidation: the Almgren-Chriss framework in continuous and discrete times
  3. Extensions of the Almgren-Chriss framework
  4. BSDE formulations of the liquidation problem
  5. Beyond Almgren-Chriss market impact models

Course Textbook(s)

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, Olivier Gueant

Supplementary Materials and Resources

http://metuclass.metu.edu.tr

More Info on METU Catalogue

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