Dynamical Systems approach in Mathematical Finance [2ECTS, MAT/06]

Lecturer: Adrian Zalinescu ( Facultatea de Informatică Universitatea "Alexandru I. Cuza" )

-          Period: January/February 2022 according with the following calendar

• 24/01 4:30pm [3 hours]
• 27/01 1:30pm [3 hours]
• 31/01 4:30pm [3 hours]
• 03/02 1:30pm [3 hours]

Zoom coordinates:

https://univr.zoom.us/j/7015145002?pwd=VHlibmNCYW5uZG5ZMHlHV0ZHWUZGQT09

ID riunione: 701 514 5002 ; Passcode: 645820

The mini course provides 2CFU

Lessons will be provided online by prof. Zalinescu. Nevertheless, students in presence are more than welcome, provided the C19-related rules (green pass, masks, etc.) will be strictly followed by every attendances.

live lessons will be provided via Zoom [ contact the organizer for the link  ]

-          Venue: on-line and in presence - 2CFU (12 hours)

-          Examiners: Luca Di Persio (University of Verona)

-          Assessment method: Project presentation exploiting material discussed during the course. Further topics, linked to the course contents, could be also considered

-          Contents: We propose an introduction into Mathematical Finance using the tools provided by Stochastic Analysis, namely Stochastic Differential Equations (SDEs) and related topics, as Markov and (jump-) diffusion processes, Backward SDEs, stochastic control and PDEs. Besides the classical problems of pricing, hedging, portfolio optimization and risk-sensitive control, we will provide applications of delayed BSDEs into the large investor problem and derivatives based on non-tradeable assets.


Interested students are asked to contact the course referent (Luca Di Persio) for Zoom details as well as for any questions/comments.