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Last update: doc. RNDr. Martin Branda, Ph.D. (19.12.2020)
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Last update: doc. RNDr. Martin Branda, Ph.D. (19.12.2020)
Vecer, J.: Stochastic Finance, CRC Press, 2011.
Merton, R.: Continuous Time Finance, Blackwell 1999.
Karatzas, I., Shreve, S.: Methods of Mathematical Finance, Springer 2017. |
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Last update: RNDr. Jitka Zichová, Dr. (13.05.2023)
Lecture. |
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Last update: doc. RNDr. Martin Branda, Ph.D. (19.12.2020)
Optimal control - the problem of maximizing the mean value of the utility function. Merton's optimal portfolio and its generalization to the optimal behavior of an agent with a different distribution view than market. Complex financial contracts, lookback options, drawdown options, Asian options, their valuation and hedging. Non-diffusion price evolution, Poisson process, price models with infinite jump intensity. |