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Stochastic Analysis: Advanced Topics

Dr. Marco Maggis


Schedule and Venue

Lectures
Dr. Marco Maggis

Wed 16:15-17:45

Thu 16:15-17:45

Room B 005

Room B 134

Exercises
Dr. Marco Maggis
Fri 12:15-13:45 Room B 045

Final Exam


TBA

TBA

Re-take Exam

TBA

TBA

 


Course Description


References

H. Pham Continuous-Time Stochastic Control and Optimization with Financial Applications, Springer.


For whom is this course?

Pre-requisites: Probability Theory, Finanzmathematik 2 (Stochastic Calculus for Brownian Motion)

Applicable credits: 9 ECTS.


Exercises


Final Exams