The analysis of financial markets is severely complicated by frictions such as discrete trading times, transaction costs, or parameter uncertainty. In this lecture, we will discuss asymptotic approaches that allow to obtain tractable approximations.
Objective
Content
The analysis of financial markets is severely complicated by frictions such as discrete trading times, transaction costs, or parameter uncertainty. In this lecture, we will discuss asymptotic approaches that allow to obtain tractable approximations. In doing so, the goal is to come to grips with a general approach to tackling many problems in applied mathematics: i) Formulating a suitable model. ii) Obtaining a candidate solution by heuristic arguments. iii) Verifying that the latter is indeed correct.
Prerequisites / Notice
Preliminaries: Brownian Motion and Stochastic Calculus; Mathematical Finance or Mathematical Foundations for Finance
Performance assessment
Performance assessment information (valid until the course unit is held again)