CALLS FOR POSITIONS:
STRIDE (Pos-Doc) - 3 positions
OceanTech (MSc): 1 position
EMSO.PT (MSc): 1 position
ENDURANCE (MSc): 1 position
Title: Stochastic optimal control and applications to finance
Speaker: Drª.Evelina Shamarova
Abstract: We briefly review the theory of stochastic optimal control including its connection to forward-backward stochastic differential equations. Further, we show that the problem of hedging options in a market with a large investor can be regarded as an optimal control problem. Finally, we solve the problem of hedging options in a market with jumps via forward-backward SDEs.
Date and place: 14:30 h, Wendesday, December 5, Room I-105 Ed. I Poente, FEUP.
The Faculdade de Engenharia da Universidade do Porto and the Universitat Politècnica de Catalunya, are organizing the Eighth Internacional Workshop on Marine Technology, which will take place in Porto, Portugal, on 10th and 11th Desember 2018.