MathMods :: Joint MSc

Additional Info

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

   

  This course will focus on the theory of stochastic optimal control and its applications in mathematical finance. The lectures will address both time discrete and time continuous models. A special care will be paid to the derivation of the dynamic programming principle and to the analysis of the corresponding Hamilton-Jacobi-Bellman equations. Typical examples of applications will include optimal allocation problems, based on Morgensten and Von Neumann utility functions, and optimal

• Topics:

   

  Stochastic control. Dynamic programming principle; Hamilton-Jacobi-Bellman equations. Optimal allocation problem; Utility functions and mean-variance criterion. Optimal stopping; American options. Cox-Ross-Rubinstein and Black Scholes models.