Justering av navn og LUB for MAT4760/9760-Advanced Mathematical Methods in Finance Nytt navn: Advanced Methods in Stochastics and Computations Teaching: Spring and Autumn. Taught according demand and resources Examination: Spring and Autumn. The same semester it is taught. Course Content: This course deals with advanced methods providing tools for stochastics modelling, analysis, control, and computational aspects. The exact content of the course may vary from year to year, depending of the demand among the students. Examples of topics that may be covered are: - Backward stochastic differential equations;
- Stochastic control and/or optimal stopping for Itô-Lévy-processes.
- Deterministic and stochastic optimisation.
- Control and machine learning methods, reinforcement learning
- Stochastic partial differential equations
Possible applications include risk measures and uncertainty quantification, hedging of risks, optimal strategy (such as portfolio and consumption), portfolio optimisation, optimal liquidation and timing. After completing the course you will: - know about advanced theories and methods within stochastic
- calculus for Lévy processes and other processes like Gaussian processes;
- know how these methods can be used for modelling and computational approaches;
- Know how these methods can be used for decision making;
- See how the methods can be related to applications, e.g. in economics,finance, energy.
|