Syllabus

Title
2231 Stochastic Control Theory and Applications in Financial Mathematics
Instructors
Univ.Prof. Dr. Rüdiger Frey
Contact details
ruediger.frey@wu.ac.at
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/21/21 to 10/10/21
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 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

On this page:

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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.  

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Learning outcomes

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
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Attendance requirements

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. 

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Teaching/learning method(s)

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.

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Assessment

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

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Prerequisites for participation and waiting lists

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

Last edited: 2021-08-25



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