The Mathematical Finance/Physics of Ecomomics Reading Group (a part of MPJC) consists a group of students and faculty members in applied mathematics and physics as well as ecomonics and finance who are interested in the interface of the disciplines. We are particularly interested in modern financial engineering with ecomonic theories and models as its scientific foundation.

• Time: Wed. 11:30AM-12:30PM

• Place: Guggenheim Hall, 415L

• (Book) "Option Pricing" by David Wright (2000)

• (General article) "Economics: the next physical science?" by J. Doyne Farmer, Martin Shubik, and Eric Smith (Phys. Today, 2005)

• (Introductory reading on Markowitz protfolio) "Convex Optimization" (pp. 155-156) by Stephen Boyd and Lieven Vandenberghe (2004)

• (Technical article) "Robust profolio selection problems" by D. Goldfarb and G. Iyengar (Math. Op. Res., 2003)

• (General article) "The use, misuse and abuse of mathematics in finance" by Paul Wilmott (Phil. Trans. Math. Phys. Engr. Sci., 2000)

• (General article) "Applied mathematics and finance" by S.D. Howison (Phil. Trans. Math. Phys. Engr. Sci., 1994)

• (Technical article) "Modeling growth stocks via birth-death processes" by S.C. Kou and S.G. Kou (Adv. Appl. Prob., 2003)

• (General article) "Thermodynamics and economics" by R.U. Ayres and I. Nair (Phys. Today, 1984)

• (General article) "Basic choices and constraints on long term energy supplies" by Paul B. Weisz (Phys. Today, 2004)

• (General article) "How should we use entropy in economics" by E.T. Jaynes (1991)

• (Technical article) "Conserved energy without work or heat" by P.A. Samuelson (Proc. Natl. Acad. Sci. U.S.A., 1992)

• (Technical article) "Wealth condensation in a simple model of economy" by Jean-Philippe Bouchaud and Marc Mézard (Physica A, 2000)

• (Technical article) "Gamma-distribution and wealth inequality" by A. Chakraborti and M. Patriarca (2008)

• (Technical article) "On the derivation of statistical thermodynamics from purely phenomenological principles" by B. Mandelbrot (J. Math. Phys., 1964)

• (Book) "The Physical Foundation of Economics: An Analytical Thermodynamic Theory" by J. Chen (2005)

• (Book) "The Mathematics of Financial Derivatives: A Student Introduction" by Paul Wilmott, Sam Howison, and Jeff Dewynne (1995)

• (Probability theory background) "On the wonderful world of random walks" by E.W. Montroll and M.F. Shlesinger (Studies in Statistical Mechanics, 1984)

• (Economics theory background) "From Mandelbrot to chaos in economic theory" by P. Mirowski (Southern Economic J., 1990)

• (Philosophical background) "Physics, computation, and why economics looks so different" by J.J. Hopfield (J. Theoret. Biol., 1994)