This new edition of the online course about optimal stopping problems is aimed at supporting a course of the Department of Mathematics on Financial Mathematics, but it may be relevant for whoever is interested in financial investments models. In the course one of the more usual ways of solving this type of problems is presented, with particular emphasis on financial applications, for example, American options and investment options, using the Hamilton-Jacobi-Bellman equations (HJB).
Optimal stopping problems are boundary-free problems, so it is necessary to invoke verification theorems to prove that a solution of HJB is the solution to the optimization problem. This procedure is illustrated with a concrete problem, in which the question of determining when a company should invest in a market, in order to maximize its value.
Target audience
This new edition of the course is recommended for master’s students with interest in financial applications or applications of differential equations and boundary-free problems.
Important dates
Course dates – from 27th September 2021 to 28th January 2022.
