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