Stochastic Control and Applications in Finance (GR5266) - Fall 2017
This course provides an introduction to control theory and its
applications in finance. The course is mainly intended for students of
the Math Finance and Stat MA programs, but may also be of interest
to some PhD students. For more details, refer to the preliminary list of contents.
- Instructor: Marcel Nutz
- Meeting time: Tuesdays and Thursdays, 10:10-11:25am, Room 520 Math
hours: Thursdays, 11:25-12:15, Rooms 520 Math/910 SSW
- TA: Xiaowei Tan
- Recitation: Tuesdays, 11:40am-12:25pm, Room 622 Math
- Consult the Academic
Calendar for important dates such as the last day to drop the class.
- Prerequisites: Solid knowledge of stochastic calculus
and basic mathematical finance. Official prerequisites are GR5264 and GR5265.
- Lecture notes will be posted on
Courseworks. The course will not follow a textbook. The reference closest to the course is: H. Pham, Continuous-time Stochastic Control and Optimization
with Financial Applications, 2009.
- Final Examination: TBA.
- Disabilities: Students who may need disability-related
accommodations should contact the instructor and
stop by the Office of Disability Services.