Stochastic control for mathematical finance

In Sem 3 UNS Finance (OLD)

Additional Info

  • ECTS credits: 6
  • University: University of Nice - Sophia Antipolis
  • Semester: 3
  • Lecturer 1: Francois Delarue
  • Topics:

     

    - One period controlled models in finance
    - Dynamic programming principle for discrete models
    - Dynamic programming principle for time discrete models
    - Time continuous models
    - Detail: allocation problem, controlled SDE (stochastic differential equation)
Read 5085 times Last modified on Saturday, 14 May 2016 14:32
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