Portfolio Theory and Incomplete Markets
Calendar Description
Semimartingale market models; trading strategies; wealth processes and stochastic integration; rish aversion; utility theory of consumption and wealth; solution of Merton's problem; pricing and hedging in incomplete markests; markets with stochastic volatility; transaction costs; Levy markets; rish measures and capital requirements.
Prerequisite: M771
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01 |
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TBA |
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By appointment |
