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Seminar: Financial Mathematics

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Seminar: Financial Mathematics


Next meeting on Mo., Jan. 16, 10:00 in 48-582

On both Jan. 23 and Jan. 30 we have two talks and start at 9:00.

Updated list of topics available for download.

Topic: Optimal Investment: Merton Problem and its Variations

Prerequisites: Financial Mathematics

Talks: We first go through the basic theory on portfolio optimization (first talk) and then look at interesting extensions and variations (second talk). So every participant is supposed to give two talks.

Reference: L.C.G. Rogers (2013): Optimal Investment. Springer.

A copy will be available in the library soon. Online version for reading (via OPAC-Uni-KL).




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