Sep 22, 2024  
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School of Graduate Studies Calendar, 2016-2017 [-ARCHIVED CALENDAR-]

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MATH 775 / Portfolio Theory and Incomplete Markets

3 unit(s)

Semimartingale market models; trading strategies; wealth processes and stochastic integration; risk aversion; utility theory of consumption and wealth; solution of Merton’s problem; pricing and hedging in incomplete markets; markets with stochastic volatility; transaction costs; Levy markets; risk measures and capital requirements.


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