|
Lehrende: Sebastian Golder; Prof. Dr. Alexander Szimayer
Veranstaltungsart:
Interaktive Lehrveranstaltung
Anzeige im Stundenplan:
Semesterwochenstunden:
3
Credits:
6,0
Unterrichtssprache:
Englisch
Min. | Max. Teilnehmerzahl:
- | 45
Kommentare/ Inhalte:
Due to the Corona crisis, we will use the application “Zoom” to provide online live lectures and tutorials for this course. The lectures and tutorials will take place weekly in the periods specified in STiNE. The corresponding lecture slides, exercise sheets and solutions will be uploaded in STiNE.
Via the lecture materials in STiNE, you will get the link, the ID, and the password for the repetitive Zoom meeting, in which we will give the lectures and tutorials. They are recurrent, which means that you can use the link, ID and password throughout the whole semester. However, the host must be online to activate the meeting. We will be present roughly 5 minutes before the course starts officially.
To connect with Zoom, please, use your UHH credentials (STiNE-Kennung) to sign in at https://uni-hamburg.zoom.us/. As you signed in, you can join our meetings using the link or ID given above. For the identification of the students, we ask you kindly to use only UHH credentials and no private accounts to sign in.
If you use Zoom for the first time, please take roughly 30 minutes to download it, which happens automatically if you try to join a meeting and get familiar with the application. In particular, ensure that the speakers, headphones and microphones work properly. The UHH provides an extensive guide on how to join meetings at
https://www.rrz.uni-hamburg.de/services/weitere/medienkompetenz/videokonferenzen/zoom/meeting-beitreten.html.
Unfortunately, this guide seems to be only available in German.
About the course
The standard principles of stochastic optimal control and optimal stopping are introduced in discrete and continuous time. These principles are applied to study real options in finance and economics, such as investment opportunities, investment timing, and project valuation. The presented theory is complemented by numerical projects, which are presented in the final weeks of the course.
Lernziel:
The course “Optimal Stopping Applied to Finance and Economics” deepens the study of decision making under uncertainty with a focus on timing.
Literatur:
Tomas Björk (2009) Arbitrage Theory in Continuous Time, 3rd Edition, Oxford University Press
Dixit, A. K., & Pindyck, R. S. (1994). Investment under uncertainty. Princeton university press.
|
