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.
|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|
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.