|
Zielgruppe |
graduate students from 1) mathematics with Vertiefung Stochastik oder Finanzmathematik/ Operations Research, 2) ETHZ-UNIZ Master's programme in finance, 3) applied mathematics with Vertiefung Numerik. |
Dozent | Prof. Christoph Schwab |
Ort | TBA |
Zeit | TBA |
beginnt am | TBA |
Vorbesprechung |
2nd organizatorial meeting: Thursday, Mar 31, 2005, 17:00 at ETHZ HG G58.1 |
Kontakt | Prof. Christoph Schwab |
Voraussetzungen |
Probability theory, foundations of mathematical finance, stochastic processes, OR Numerik Partieller Differentialgleichungen, OR Differentialgleichungen. |
Beschreibung |
Jump Diffusions are solutions to stochastic differential equations driven by Levy processes. They have received much attention recently due to many applications, mainly in economics and mathematical finance. The seminar will present theory (mathematical formulation, existence, uniquess of stochastic controls) as well as applications to economics (ressource allocation, portfolio optimization, pricing of exotic derivative contracts) and numerical methods for the computation of optimal controls. Students will prepare a seminar talk of 60min. duration based on a research level text. Typewritten seminarpaper, on which the presentation is based, to be handed in. The language of the seminar will be English. The seminar can be continued into a Master's Thesis resp. Diplomarbeit. |
Literatur |
B. Oksendahl und A. Sulem: Applied stochastic control of jump diffusions, Book Manuscript, Springer Verlag 2005 (to appear). Research papers (2002-) |
Weitere Informationen |
Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne
graphische Elemente dargestellt. Die Funktionalität der
Website ist aber trotzdem gewährleistet. Wenn Sie diese
Website regelmässig benutzen, empfehlen wir Ihnen, auf
Ihrem Computer einen aktuellen Browser zu installieren. Weitere
Informationen finden Sie auf
folgender
Seite.
Important Note:
The content in this site is accessible to any browser or
Internet device, however, some graphics will display correctly
only in the newer versions of Netscape. To get the most out of
our site we suggest you upgrade to a newer browser.
More
information