Department of Mathematics

American options and optimal stopping problems

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Dr. Delia Coculescu
Thursdays 8:15-10:00
First meeting
The aim of this seminar to introduce theory of optimal stopping which is concerned with the problem of choosing a time to take a particular action, in order to maximise an expected reward or minimise an expected cost. The area of applications is very broad. We shall focus on the valuation of American-style derivative securities, i.e. contracts that can be exercised prior to their maturity date at the option of the holder.
Some chapters of the following references will be selected:
  1. A. N. Shiryaev: Optimal Stopping Rules, Springer 2008.
  2. G. Peskir and A. N. Shiryaev: Optimal Stopping and Free-Boundary Problems, Birkhauser, 2006.
Other information
  • Suitable for those students who have followed the course unit 401-3642-00L "Stochastic Processes and Stochastic Analysis" during the spring semester.
  • The interested students should register by sending an e-mail to the organizer.

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