This course provides solutions to the inter-temporal problems in financial management of portfolios, credit risks and market making. Dynamic and stochastic dynamic programming techniques as well as optimal control and stochastic control principles of optimality are presented, and their financial contexts emphasized. Both theoretical and practical facets of inter-temporal management of financial risks and risk pricing are also stressed. The course uses financial and optimization software to solve problems practically.
Prerequisites: FRE 6083, FRE6123, and FRE6091 and Graduate Standing.
Additional material: FRE 6331 FINANCIAL RISK MANAGEMENT AND OPTIMIZATION.pdf