course-details-portlet

IØ8817 - Stochastic Calculus, Control and Optimization with Applications in Finance

About

New from the academic year 2024/2025

Examination arrangement

Examination arrangement: Assignments
Grade: Passed / Not Passed

Evaluation Weighting Duration Grade deviation Examination aids
Assignments 100/100

Course content

Stochastic Calculus, Control and Optimization with Applications in Finance is a PhD course offered by the Department of Industrial Economics and Technology Management within the scope of quantitative finance and operations research. Financial economics is a branch of economics that studies agent decisions involving money, time, and uncertainty. Most of the agents' decisions can be formalized as (stochastic) optimization problems. When considering continuous time models, agents’ decisions can be formalized as stochastic control problems.

This course provides students with some essential concepts in stochastic calculus and stochastic control, creating the basis for studying optimization models. Some of the topics in stochastic calculus are martingales, geometric Brownian motion, Itô lemma, the Feynman-Kac formula, and the Black-Scholes model. Regarding the optimization part, topics like stochastic control, optimal stopping, and optimal switching are covered. Analytical and numerical approaches may be discussed throughout the course. Finance and economics models will be presented and explored.

Learning outcome

After having completed the course, the candidate should:

- have competencies in stochastic calculus;

- be able to clearly distinguish between the different control problems discussed;

- formalize financial problems as stochastic optimization problems;

- know how to approach such problems (either numerically or analytically).

Learning methods and activities

Lectures. Participation in the seminars is expected, which includes attendance at all lectures, as well as contributions to the discussions.

Required previous knowledge

Admission to a PhD programme within operations research, finance, statistics, and mathematics.

Course materials

Selected literature. Will be given at course start-up.

More on the course

No

Facts

Version: 1
Credits:  7.5 SP
Study level: Doctoral degree level

Coursework

Term no.: 1
Teaching semester:  AUTUMN 2024

Language of instruction: English

Location: Trondheim

Subject area(s)
  • Managerial Economics, Finance and Operations Research
  • Business Economics
  • Financial Economics
  • Technological subjects
Contact information
Course coordinator:

Department with academic responsibility
Department of Industrial Economics and Technology Management

Timetable

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Examination

Examination arrangement: Assignments

Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
Autumn ORD Assignments 100/100

Submission
2024-12-03


23:59

Room Building Number of candidates
  • * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

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