Syllabus
Black-Scholes model. Pricing of Options.
Optimal Control - the problem of expected utility maximization.
The first and second fundamental theorems of mathematical finance.
Annotation
Black-Scholes model. Pricing of Options. The first and second fundamental theorems of mathematical finannce:
The existence and uniqueness of the risk-neutral measure in relation to the existence of arbitrage and completness of the financial market. The
Feynman-Kac theorem. Optimal Control - the problem of expected utility maximization. HJB equation approach
(dynamic programming). Duality approach.