I offer PhD projects in the area of Stochastic Control Models for Financial Applications. You are most welcome to send any enquiries directly to me, please include your CV and the list of your exams. I am board member of the interdisciplinary PhD programmes in Modelling and Data Science (MDS) at the University of Turin and in Modelling and Engineering Risk and Complexity (MERC) at the School for Advanced Studies of Naples (Scuola Superiore Meridionale). Students interested in working under my supervision on highly interdisciplinary subjects should check MDS' webpage and MERC's webpage for further information and funding opportunities.
General description of the projects
These projects are devoted to the study of stochastic control problems with possible applications ranging from energy and power systems to economics and finance. In particular, we are interested in the theoretical and numerical study of optimal strategies in one of the following classes of problems:
Optimal stopping problems. These can be used to design, price and hedge contracts with features similar to those of American options.
Irreversible (partially reversible) investment problems. These find numerous applications in the study of real options and energy systems.
Zero-sum and nonzero-sum games of control and stopping. These games are well-suited to model situations where multiple agents compete or cooperate to achieve certain goals; hence they can be used to describe energy markets and financial markets.
Versions of the above problems featuring also partial and asymmetric information may be considered. The methodologies that will be used in this project are inspired by stochastic calculus, stochastic differential equations and partial differential equations. It is therefore expected that applicants should have a demonstrated background in one or more of those areas of mathematics. As a PhD student in my group you will have the opportunity to interact with several other young researchers in this area and you will benefit from frequent scientific visits of leading international academics in the field.