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
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 |
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
Zuletzt bearbeitet: 08.05.2019
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