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Course Details

Fall 2018-2019
ORF 538   Graded A-F, P/D/F, Audit

PDE Methods for Financial Mathematics

Ronnie Sircar

This class covers analytical and computational PDE-based methods for models arising in Financial Mathematics, and Economics. Topics include: linear PDEs and pricing and hedging of financial derivatives; optimal stopping and variational inequalities motivated by American options; Hamilton-Jacobi-Bellman equations coming from stochastic control problems such as portfolio optimization, optimal execution and transaction costs; and stochastic differential game systems of PDEs related to exhaustible resources and oligopoly models, as well as related mean field games. Emphasis is on exact, approximate and numerical (finite difference) solutions.

Sample reading list:
J.-P. Fouque, G. Papanicolaou, R. Sircar, K. Solna, Multiscale Stochastic Volatility for Equity, Interest Rate,
B. Oksendal, Stochastic Differential Equations
P. Wilmott, S. Howison, J. DeWynne, Mathematics of Financial Derivatives
S. Shreve, Stochastic Calculus for Finance II
Yves Achdou, Francisco J. Buera, Jean-Michel Lasry, Pie, Partial differential equation models in macroeconomics

Requirements/Grading:
Mid Term Exam - 15%
Final Exam - 25%
Problem set(s) - 60%

Other Requirements:
Open to Graduate Students Only.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
20644 C01 01:30:00 pm - 02:50:00 pm M W        Enrolled:0 Limit:0 Canceled