Stochastic Optimal Control and Investment
GSM MF 794
Main topics: LÃ©vy 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
|A1||Lyasoff||T 8:00 am-11:00 am|