Equilibrium theory in continuous time
A lecture series organized by KTH in collaboration with Stockholm School of Economics will take place at the premises of KTH.
LecturerProfessor Tomas Björk (Stockholm School of Economics and KTH)
PrerequisitesNecessary and sufficient prerequisites is Tomas Björk's PhD course "Continuous Time Finance". In operational terms this means knowledge of the following basic tools: Arbitrage theory, martingales measures and the relations to absence of arbitrage and market completeness, risk neutral valuation, stochastic analysis for Wiener driven processes, Girsanov transformations, change of numeraire, dynamic programming for stochastic control problems, the martingale approach to optimal investment problems.
Course formatThe series will start in mid March (see below for details), there will be two lectures per week for four weeks. There will be a written exam at the end of the course and the course will count as 4 ECTS points.
LiteratureThe literature consists of
Travel stipendThere will be possibilities for doctoral students to apply for funding of travelling expenses. Please send a brief motivation and budget to Lisa Klein ( Lisa.Klein@hhs.se) at the Department of Finance (SSE), in order to apply.
For further information about the course, please contact Professor Tomas Björk.To Mathematical Statistics
|Published by: Filip Lindskog