Stochastic Methods of Asset Pricing II

GSM MF 794

The course covers: Feynman-Kac formula and Fokker-Plank equation, Stochastic calculus with jumps, Lévy 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

Section Instructor Location Schedule Notes
A1 T 8:00 am-10:45 am

Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.