Welcome to the course MAT4730/4930 !

The first lecture is on Wednesday August 19th.

The course presents methods of stochastic optimisation for the study of a general consumption-investment problem in a complete and and incomplete market. For this some background knowledge in stochastic analysis is useful. This includes: Brownian motion, stochastic integration, Ito formula, stochastic differential equations driven by Brownian motion, martingales, Ito representation theorem and the Girsanov theorem. Stochastic integration extended to the case of local martingales will be also used and revised in class.

The first part of the course deals with the single agent problem.

The main reference book is Methods of Mathematical Finance by I. Karatzas, Springer.

See you all on Wednesday!