Syllabus

Title
5955 PhD Research Seminar: Selected Topics in Stochastic Calculus and Financial Applications
Instructors
Univ.Prof. Dr. Rüdiger Frey
Contact details
  • Type
    PI
  • Weekly hours
    2
  • Language of instruction
    Englisch
Registration
02/12/19 to 02/25/19
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Dates
Day Date Time Room
Thursday 05/09/19 09:00 AM - 12:00 PM TC.5.18
Thursday 05/16/19 09:00 AM - 12:00 PM TC.5.18
Thursday 05/23/19 09:00 AM - 12:00 PM TC.5.18
Wednesday 05/29/19 09:00 AM - 12:00 PM D3.0.237
Thursday 06/06/19 09:00 AM - 12:00 PM TC.5.18
Thursday 06/13/19 09:00 AM - 12:00 PM TC.5.18
Wednesday 06/19/19 09:00 AM - 12:00 PM D2.0.330
Wednesday 06/26/19 10:00 AM - 12:00 PM D4.0.019
Thursday 06/27/19 09:00 AM - 12:00 PM TC.5.18

Contents

In this lecture we study continuous time stochastic control methods and financial and actuarial applications. Time permitting we will also address mean-field games. Applications include (but are not limited to)  portfolio optimization, optimal portfolio execution or optimal hedging and reinsurance.  

Learning outcomes

This course deepens the understanding of control problems in continuous-time finance by extending known results to processes with  jumps. This is indispensable for understanding  a large part of the current research in financial mathematics.

The aim of this course is to:

  • obtain a thorough understanding of the main topics of optimal control, such as the HJB equation and corresponding solution concepts and their application in 
  • enable the sudents to understand and contribute to  current research in financial mathematics
 

After completing this course the student will also:

  • have deepened his/her ability for teamwork
  • have deepened his/her presentation skills

Attendance requirements

Students are expected to attend approx 80% of the lectures.

Teaching/learning method(s)

The first part of the course (approx 6 units) consist of lectures of the instructor. This is followed by student presentations where various applications of control theory  in financial mathematics are discussed.

Assessment

Presentation during the course (25%), final exam(50%) , assignments and  active class participation(25%)

Recommended previous knowledge and skills

Lectures Continuous Time Finance I and II from the MSc Qfin or equivalent. In case of doubt please contact the instructor.

Availability of lecturer(s)

ruediger.frey@wu.ac.at

Last edited: 2019-05-08



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