Lehrende: Prof. Dr. Alexander Szimayer
Veranstaltungsart: Interaktive Lehrveranstaltung
Anzeige im Stundenplan:
Semesterwochenstunden: 3
Credits: 6,0
Unterrichtssprache: Englisch
Min. | Max. Teilnehmerzahl: - | 45
Kommentare/ Inhalte: Optimal Stopping Applied to Finance and Economics
Lernziel: The course “Optimal Stopping Applied to Finance and Economics” deepens the study of decision making under uncertainty with a focus on timing.
Vorgehen: The standard principles of stochastic optimal control and optimal stopping are introduced in discrete and continuous time. These principles are applied to study real options in finance and economics, such as investment opportunities, investment timing, and project valuation. The presented theory is complemented by numerical projects, which are presented in the final weeks of the course
Literatur: Tomas Björk (2009) Arbitrage Theory in Continuous Time, 3rd Edition, Oxford University Press Dixit, A. K., & Pindyck, R. S. (1994). Investment under uncertainty. Princeton university press.