Optimal stopping with applications to finance

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Optimal stopping with applications to finance
Speaker:  Campi Luciano - London School of Economics and Political Sciences
  Monday, April 10, 2017 Minicorso di 8 ore
MINICORSO DI 8 ORE

Optimal stopping problems are very common in economics and nance (as well as in other elds such as sequential statistics), think for instance of choosing the best time to sell some good (e.g. a house) to exercise a given option.

The aim of this course is explaining in detail the main solution methods and how they can be applied to some concrete examples coming from economics and nance. A good knowledge of probability theory and martingales in discrete time is a very welcomed prerequisite.

The list of topics will be:
  1. Optimal stopping problem (OSP): motivation and examples
  2. Solution to OSP via Snell envelop and backward induction
  3. Zero-sum stopping games (aka Dynkin games)
  4. Applications to nance and economics

References:
  • Neveu J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier.
  • Peskir G., and Shiryaev A. (2006). Optimal stopping and free-boundary problems (pp. 123-142). Birkhauser Basel.
  • Ghemawat P. and Nalebu B. (1985). Exit. The RAND Journal of Economics (pp.184-194).
  • Solan E. and Vieille N. (2005). Stopping games: recent results. In Advances in Dynamic Games (pp. 235-245). Birkhauser Boston.

Calendario lezioni:
  • Lunedì 10 aprile, 17.30-19.30 - aula M
  • Martedì 11 aprile, 14.30-17.30 - aula M
  • Mercoledì 12 aprile, 14.30-17.30 - aula M  
  • Il materiale ed i video delle lezioni del seminario sono raccolti nell'area e-Learning del corso Stochastic differential equations (2016/2017)
https://moodle.univr.it/moodle/course/view.php?id=1026
Programme Director
Luca Di Persio
External reference
Publication date
January 24, 2017

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