René Carmona

Paul Wythes ’55 Professor of Engineering and Finance

TEACHING

ORF 505 / FIN 505: Statistical Analysis of Financial Data in R

Divided into three parts of approximately the same lengths.

  • Density estimation (heavy tail distributions) and dependence (correlation and copulas)

  • Regression analysis (linear, nonlinear, nonparametric) and robust alternatives

  • Time series analysis (AR, MA, ARMA) and Filtering The statistical analyzes, computations and numerical simulations will be done in the R software environment for statistical computing and graphics.

ORF 542: BSDEs, Stochastic Control & Stochastic Games

Review of (forward) stochastic differential equations; Introduction to Backward Stochastic Differential Equations (BSDE) and Forward/Backward Stochastic Differential Equations (FBSDEs); Stochastic Control: Dynamic Programming, Hamilton-Jacobi-Bellman equations and connection with BSDEs; Stochastic Maximum Principle and the Probabilistic Approach to Stochastic Control; Stochastic differential games, Nash equilibriums, Isaacs conditions, BSDEs and FBSDEs; Applications: LQ models, Predatory trading game. Mean Field Games and Control of McKean-Vlasov dynamics; Applications: systemic risk, macro-economic growth models, flocking, schooling and crowd behavior

ORF 531 / FIN 531: Computational Finance in C

Introduction to object oriented programming and C. Introduction of the technical and algorithmic aspects of a wide spectrum of computer applications currently used in the financial industry, and C implementations of these concepts. All bi-weekly homework assignments involves C code, and the final project comprises the development of a financial application in C.

ORF 457: Energy and Commodity Markets (Spring 2014)