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.
Language of instruction
|Thursday||10/21/21||09:00 AM - 12:00 PM||D4.0.133|
|Thursday||11/04/21||09:00 AM - 12:00 PM||D4.0.133|
|Thursday||11/11/21||09:00 AM - 12:00 PM||D4.0.133|
|Thursday||11/18/21||09:00 AM - 12:00 PM||EA.5.044|
|Thursday||11/25/21||09:00 AM - 12:00 PM||Online-Einheit|
|Thursday||12/02/21||09:00 AM - 12:00 PM||Online-Einheit|
|Thursday||12/09/21||09:00 AM - 12:00 PM||Online-Einheit|
This course deepens the understanding of control problems in continuous-time finance. 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 finance and economics
- get an introduction to probabilistic approaches for dealing with control problems
- 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. It is planned to hold the lecture on campus, if possible und the then active Covid 19 regulations.
The main part of the courseconsist of lectures of the instructor and the discussion of exercise sets. 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.