MAT9760 – Advanced Mathematical Methods in Finance
Course description
Course content
This course deals with topics within advanced stochastic analysis, which are of particular interest. The exact content of the course may vary from year to year, depending of the demand among the students. Examples of topics that may be covered are:
- (i) Backward stochastic differential equations;
- (ii) Stochastic partial differential equations;
- (iii) Stochastic analysis and optimal control for It?-Lévy-processes.
Possible applications to finance include risk measures, hedging and optimal portfolio and consumption problems.