Stochastic Optimal Control and Investment

GSM MF 794

Main topics: Lévy processes and jump diffusion models in finance, classical problems for optimal control (Merton's problem, etc.), the Hamilton-Jacobi-Bellman equation, the connection between asset pricing and free-boundary problems for PDEs, optimal exercise of American-style derivatives, optimal investment decisions, valuation of real options, policy intervention, and applications to some macroeconomic models.

SPRG 2016 Schedule

Section Instructor Location Schedule Notes
A1 Lyasoff T 8:00 am-11:00 am

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