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.
Syllabus
-
Type
PI -
Weekly hours
2 -
Language of instruction
Englisch
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 |
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
Students are expected to attend approx 80% of the lectures.
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.
Presentation during the course (25%), final exam(50%) , assignments and active class participation(25%)
Lectures Continuous Time Finance I and II from the MSc Qfin or equivalent. In case of doubt please contact the instructor.
ruediger.frey@wu.ac.at
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