"G. d'Annunzio"
No specific foundation course is required but only some notions of probability theory, stochastic processes and financial mathematics.
At the end of the course the student will be able to apply the theory of optimal stochastic control to concrete models and problems.
Stochastic control of diffusion processes and applications in finance. Introduction to interest rate models.
Stochastic control of diffusion processes, both with finite and infinite horizon. The Hamilton-Jacobi-Bellman equation and the verification theorem. Optimal strategies for some investement decision problems: Merton's problem of optimal portfolio allocation; the reinsurance problem; investment/consumption optimal allocation; an irreversible investement allocation problem. Interst rate models: the risk premium. The CIR model.
Pham, H.: Continuous-time Stochastic Control and Optimization with Financial Applications, Springer 2009 De Giuli, M.E., Maggi, M.A.,Magnani, U., Rossi, E.: Derivati. Teoria e applicazioni. Giappichelli 2002
classroom-taught lessons where theoretical aspects of the discipline are investigated and applied to concrete problems.
The exam is oral. Questions will spring from some problems on which the students will have worked autonomously during the course.
Office hours: - 2 hours per week with dates and times communicated at the beginning of the course; - on request by reservation via e-mail.
