In this seminar we will discuss a number of papers on stochastic optimal control problems arising in Finance. Some topics will be suitable for students with a good understanding of Financial Mathematics I (such as the one that was taught last summer). Other topics will require a more in depth knowledge of Stochastic Analysis as provided, for instance, by past courses in Financial Mathematics II.
The first meeting will be on Monday, October 21, 2pm in MA 748. Please confirm the room no. shortly before our meeting as the room my already be booked.
- Trainer/in: Peter Bank