Stochastic Methods of Asset Pricing II
GSM MF 794
The course covers: Feynman-Kac formula and Fokker-Plank equation, Stochastic calculus with jumps, LÃ©vy processes and jump diffusion models in finance, Bellman's Principle of Dynamic Programming and Hamilton-Jacobi-Bellman equation, classical problems for optimal control in finance (Merton's problem, etc.), investment-consumption decisions with transaction costs, the connection between asset pricing and free-boundary problems for PDEs, optimal stopping problems and the exercise of American-style derivatives, capital structure and valuation of real options and corporate debt, exchange options, stochastic volatility models, and Dupire's formula.
SPRG 2017 Schedule
|A1||T 8:00 am-10:45 am|