Per Mykland

• 2011/2012
  • Stat 33800 Statistical Inference for Financial Data (Autumn 2011)
  • Stat 43830 Topics in Statistical Arbitrage (Spring 2012)
• 2010/2011
  • Stat 33800 Statistical Inference for Financial Data (Autumn 2010)
  • Stat 43820 Analysis of Limit Order Books (Spring 2011)
• 2009/2010 (University of Oxford)
  • Advanced Econometrics: Financial Econometrics I-II (Weeks 5-8, Michaelsmas 2009, and Week 1-4, Hilary 2010)
  • Link to the entire econometrics series (Oxford domain only)
• 2008/2009
  • Stat 390/Fin Math 345 (Autumn 2008)
  • Stat 313 (Spring 2009)
  • Stat 438 (Spring 2009)
• 2007/2008
  • Stat 339/Fin Math 331 (Autumn 2007)
  • Stat 313 (Spring 2008)
  • Stat 438 (Spring 2008)
• 2006/2007
  • Stat 339/Fin Math 331 (Autumn 2006)
  • Stat 338 (Winter 2007)
  • Stat 391/Fin Math 346 (Winter 2007)
• 2005/2006
  • Stat 390/Fin Math 345 (Autumn 2005)
  • Stat 312 (Winter 2006).
  • Stat 338 (Winter 2006). This will be a very theoretical version of the course. The textbooks are Limit Theorems for Stochastic Processes by Jacod and Shiryaev and Martingale Limit Theory and Its Application by Hall and Heyde. The latter is out of print (and we'll deal with that somehow), but Jacod and Shiryaev is available. Please order it now (the link is to amazon.com, but by all means use your favorite bookseller). The book may not be in the bookstore.
• 2004/2005
  • Stat 390/Fin Math 345 (Autumn 2004)
  • Stat 338 (Winter 2005)
  • Stat 391/Fin Math 346 (Winter 2005)
• 2003/2004
  • Stat 338 (Autumn 2003) Scrapbook
  • Stat 390/Fin Math 345 (Autumn 2003)
  • Stat 391/Fin Math 346 (Winter 2004)
  • Scrapbook for Stat 494 (workshop on statistical finance) (Winter 2004)
• 2002/2003
  • Stat 390/Fin Math 345 (Autumn 2002)
  • Stat 200, 302 (Spring 2003)
• 2002/2003
  • Stat 390/Fin Math 345 (Autumn 2002)
• 2001/2002
  • Course Information for Stat 302 (under construction) (Spring 2002)
  • Course Information for Stat 200 (under construction) (Spring 2002)
  • Stat 391/Fin Math 346 (Winter 2002)
• 2000/2001 (in Princeton)
  • ORF 405 (Autumn 2000)
  • ECO 575 (Spring 2001)
• 1999/2000
  • Stat 391/FinMath 346 (Winter 2000)
  • Course Information for Stat 391/Fin Math 346
  • Stat 485 (Winter 2000)
  • Stat 313 (Spring 2000 -- notice the stars!)
  • The Financial Engineering Workshop (Spring 2000)
• For earlier listings, please consult the course announcements of the Department of Statistics