Courses

• Computational Finance at Stony Brook University.
• Finance Theory at MIT.
• Money, Banking, and Financial Institutions at Iowa State.

Papers

• Competitive solutions for online financial problems by R.El-Yaniv, an excellent survey of online algorithms for search, replacement, and portfolio selection.
• Optimal search and one-way trading online algorithms by R.El-Yaniv, A.Fiat, R.M.Karp, and G.Turpin, has competitive algorithms for the online search and one-way trading problems.
• The statistical adversary allows optimal money-making trading strategies by A.Chou, J.Cooperstock, R.El-Yaniv, M.Kulerman, and T.Leighton, discusses money-making algorithms for two-way trading.
• Making commitments in the face of uncertainty: how to pick a winner almost every time by B.Awerbuch, Y.Azar, A.Fiat, and T.Leighton, has an amazing algorithm for, say, picking winning stocks. It does, however, have some limitations on its practical applicability.
• Online Trading Algorithms and Robust Option Pricing by P.DeMarzo, I.Kremer, and Y.Mansour, shows how to use online algorithms to price options.
• Competitive algorithms for VWAP and limit order trading by Sham M. Kakade, Michael Kearns, Yishay Mansour and Luis E. Ortiz.
• Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns by Gen-Huey Chen, Ming-Yang Kao, Yuh-Dauh Lyuu, and Hsing-Kuo Wong.
• Competitive Optimal On-Line Leasing by R. El-Yaniv.
• Delayed Information and Action in On-Line Algorithms by S Albers, M Charikar and M Mitzenmacher.
• On Capital Investment by Y. Azar, Y. Bartal, E. Feuerstein and A. Fiat.
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• Nearly optimal strategies for special cases of on-line capital investment by Peter Damaschke.

References

• MathWorld has definitions and lots of other information related to mathematics.
• Wikipedia.
• Investopedia.