Stochastic Optimal Control with Applications in Finance

Course Description:

The purpose of the seminar is to familiarize undergraduate and graduate students with the basics of stochastic financial theory in continuous time, eventually reaching the modern mathematical tools used in this field.

Organizers will give a brief introduction to the field, after which the participants will choose topics from the proposed list and prepare their reports. For this they will be provided with all the necessary materials. All reports will include motivations for the general theory and illustrations with specific examples.