IAM745 SPECIAL TOPICS:STOCHASTIC AND DETERMINISTIC OPTIMAL CONTROL WITH APPLICATIONS TO FINANCE
| Course Code: |
9700745 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(3-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Masters |
| Course Coordinator: |
Prof.Dr. ALÝ DEVÝN SEZER |
| Offered Semester: |
Fall or Spring Semesters. |
Course Content
Problems in the calculus of variations. Deterministic optimal control. Pontryagin's principle. Value function. Dynamic Programming. Optimal control of diffusion processes. Optimal stopping. The Linear-Quadratic problem. Pricing of American options. Merton's optimal investment problem.
