Syllabus
Optimal control - the problem of maximizing the mean value of the utility function.
Merton's optimal portfolio and its generalization to the optimal behavior of an agent with a different distribution view than market.
Complex financial contracts, lookback options, drawdown options, Asian options, their valuation and hedging.
Non-diffusion price evolution, Poisson process, price models with infinite jump intensity.
Annotation
This course covers more advanced topics of finance in continuous time. It covers optimal behavior of market agents who maximize their utility functions, its implications to optimal portfolio selection, connections to stochastic optimal control.
The course also covers pricing exotic option contracts and considers evolution of the asset price driven by jump processes.