Stochastic Optimal Control and Investment
GSM MF 794
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, Pontryagin?s principle of maximum, and applications to some macroeconomic models.
SPRG 2014 Schedule
|A1||Lyasoff||SMG 404||TR 9:30 am-11:00 am|