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American options and optimal stopping problems
Organizer
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Dr. Delia Coculescu
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Place
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HG F3
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Time
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Thursdays 8:15-10:00
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First meeting
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24.09.2009
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Language
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English
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Description
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The aim of this seminar to introduce theory of optimal stopping which is concerned with the problem of
choosing a time to take a particular action, in order to maximise an
expected reward or minimise an expected cost. The area of applications is very broad. We shall focus on the valuation of American-style derivative securities, i.e. contracts that can be exercised prior to their maturity date at the option of the holder.
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Literature
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Some chapters of the following references will be selected:
- A. N. Shiryaev: Optimal Stopping Rules, Springer 2008.
- G. Peskir and A. N. Shiryaev: Optimal Stopping and Free-Boundary Problems, Birkhauser, 2006.
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Other information
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- Suitable for
those students who have followed the course unit 401-3642-00L
"Stochastic Processes and Stochastic Analysis" during the spring
semester.
- The interested students should register by sending an e-mail to the organizer.
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