Department of Mathematics

Stochastic Control of Jump Diffusions - Analysis and Numerics

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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
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
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-)
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