Syllabus

Title
5955 PhD Research Seminar: Selected Topics in Stochastic Calculus and Financial Applications
Instructors
Univ.Prof. Dr. Rüdiger Frey
Contact details
ruediger.frey@wu.ac.at
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
Advanced Course Research Methods of Social and Economic Sciences
Research Methods
Methodology and Theory
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

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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.  

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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
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Attendance requirements

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

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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.

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Assessment

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

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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.

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Availability of lecturer(s)

ruediger.frey@wu.ac.at

Last edited: 2019-05-08



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