Fayçal Drissi

Fayçal Drissi

Postdoctoral Researcher at University of Oxford

Teaching

2025 - Continuous-Time Finance - Lecturer

Graduate course, University of Oxford - Saïd Business School - MSc Financial Economics., 2025

Lecture notes here.

This course provides an introduction to the mathematical tools used in continuous-time models in finance. These models are essential for understanding the complex financial instruments we will explore, ranging from equity options to interest rate derivatives. Continuous-time models are widely employed by trading desks at investment banks and hedge funds to price, hedge, and manage portfolios, in markets where trillions of dollars in derivatives are traded daily.

2024 - Market Microstructure and Algorithmic Trading - Lecturer

Graduate course, University of Oxford - Mathematical and Computational Finance MSc, 2024

Lecture notes here.

This course covers different models of Algorithmic and High Frequency trading for optimal execution of large orders and optimal market making in limit order books and over-the-counter markets using tools from convex analysis, stochastic optimal control, and economics.

2022 - Computer C++ and Applications to Quantitative Finance - Lecturer

Graduate course, Université Paris 1 Panthéon‑Sorbonne, 2022

Lecture notes here.

This course introduces students to object-oriented programming by exploring the concepts of program specification and design, algorithm development, coding, and testing, with applications to designing a financial pricing library with pricing algorithms for vanilla and path-dependent options.