Syllabus

Titel
5955 PhD Research Seminar: Selected Topics in Stochastic Calculus and Financial Applications
LV-Leiter/innen
Univ.Prof. Dr. Rüdiger Frey
Kontakt
  • LV-Typ
    PI
  • Semesterstunden
    2
  • Unterrichtssprache
    Englisch
Anmeldung
12.02.2019 bis 25.02.2019
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Doktorat/PhD
Termine
Wochentag Datum Uhrzeit Raum
Donnerstag 09.05.2019 09:00 - 12:00 TC.5.18
Donnerstag 16.05.2019 09:00 - 12:00 TC.5.18
Donnerstag 23.05.2019 09:00 - 12:00 TC.5.18
Mittwoch 29.05.2019 09:00 - 12:00 D3.0.237
Donnerstag 06.06.2019 09:00 - 12:00 TC.5.18
Donnerstag 13.06.2019 09:00 - 12:00 TC.5.18
Mittwoch 19.06.2019 09:00 - 12:00 D2.0.330
Mittwoch 26.06.2019 10:00 - 12:00 D4.0.019
Donnerstag 27.06.2019 09:00 - 12:00 TC.5.18

Inhalte der LV

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.  

Lernergebnisse (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

Regelung zur Anwesenheit

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

Lehr-/Lerndesign

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.

Leistung(en) für eine Beurteilung

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

Empfohlene inhaltliche Vorkenntnisse

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

Erreichbarkeit des/der Vortragenden

ruediger.frey@wu.ac.at

Zuletzt bearbeitet: 08.05.2019



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