Emne - Stokastisk kalkulus, kontroll og optimering med anvendelser innen finans - IØ8817
IØ8817 - Stokastisk kalkulus, kontroll og optimering med anvendelser innen finans
Om emnet
Nytt fra studieåret 2024/2025
Vurderingsordning
Vurderingsordning: Arbeider
Karakter: Bestått/ Ikke bestått
| Vurdering | Vekting | Varighet | Delkarakter | Hjelpemidler |
|---|---|---|---|---|
| Arbeider | 100/100 |
Faglig innhold
Stochastic Calculus, Control and Optimization with Applications in Finance is a PhD course offered by the Department of Industrial Economics and Technology Management within the scope of quantitative finance and operations research. Financial economics is a branch of economics that studies agent decisions involving money, time, and uncertainty. Most of the agents' decisions can be formalized as (stochastic) optimization problems. When considering continuous time models, agents’ decisions can be formalized as stochastic control problems.
This course provides students with some essential concepts in stochastic calculus and stochastic control, creating the basis for studying optimization models. Some of the topics in stochastic calculus are martingales, geometric Brownian motion, Itô lemma, the Feynman-Kac formula, and the Black-Scholes model. Regarding the optimization part, topics like stochastic control, optimal stopping, and optimal switching are covered. Analytical and numerical approaches may be discussed throughout the course. Finance and economics models will be presented and explored.
Læringsutbytte
After having completed the course, the candidate should:
- have competencies in stochastic calculus;
- be able to clearly distinguish between the different control problems discussed;
- formalize financial problems as stochastic optimization problems;
- know how to approach such problems (either numerically or analytically).
Læringsformer og aktiviteter
Lectures. Participation in the seminars is expected, which includes attendance at all lectures, as well as contributions to the discussions.
Anbefalte forkunnskaper
This course is designed for PhD candidates within the fields of operations research, finance, economics, statistics, and mathematics.
Forkunnskapskrav
Admission to a PhD programme within operations research, finance, statistics, and mathematics.
Kursmateriell
Selected literature. Will be given at course start-up.
Ingen
Versjon: 1
Studiepoeng:
7.5 SP
Studienivå: Doktorgrads nivå
Termin nr.: 1
Undervises: HØST 2024
Undervisningsspråk: Engelsk
Sted: Trondheim
- Bedriftsøkonomi og optimering
- Bedriftsøkonomi
- Finansiell økonomi
- Teknologiske fag
Ansvarlig enhet
Institutt for industriell økonomi og teknologiledelse
Eksamensinfo
Vurderingsordning: Arbeider
- Termin Statuskode Vurdering Vekting Hjelpemidler Dato Tid Eksamens- system Rom *
-
Høst
ORD
Arbeider
100/100
Innlevering
03.12.2024
23:59 -
Rom Bygning Antall kandidater
- * Skriftlig eksamen plasseres på rom 3 dager før eksamensdato. Hvis mer enn ett rom er oppgitt, finner du ditt rom på Studentweb.
For mer info om oppmelding til og gjennomføring av eksamen, se "Innsida - Eksamen"