Classes

ORF 335, ECO 364 : Introduction to Financial Mathematics
Semester:
Spring
Offered:
2022
Financial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time…
ORF 418: Optimal Learning
Semester:
Fall
Offered:
2021
This course develops several methods that are central to modern optimization and learning problems under uncertainty. These include dynamic programming, linear quadratic regulator, Kalman filter, multi-armed bandits and reinforcement learning. Representative applications and numerical methods are emphasized.
ORF 335, ECO 364 : Introduction to Financial Mathematics
Semester:
Spring
Offered:
2021
Financial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time…
ORF 335, ECO 364 Introduction to Financial Mathematics
Semester:
Spring
Offered:
2020
Financial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time…
ORF 542, Stochastic Optimal Control
Semester:
Fall
Offered:
2019
This course discusses the formulation and the solution techniques to a wide ranging class of optimal control problems through several illustrative examples from economics and engineering, including: Linear Quadratic Regulator, Kalman Filter, Merton Utility Maximization Problem, Optimal Dividend Payments, Contact Theory. The method of dynamic…

Contact

Mete Soner, Professor
Sherrerd Hall 328, Charlton Street
Princeton, NJ 08544
Office: 328 Sherrerd Hall
Phone: 609-258-5130