Mini course announcement

Prof. Luciano Campi [ LSE, London School of Economics, London ] will give a mini course on

Optimal stopping with applications to finance

according with the following time table:

10th of April (2017) : 1730-1930 - Room M

11th of April (2017) : 1430 -1730 - Room M

12th of April (2017) : 1430-1730 - Room M

all the lessons will  take place at the Dept. of Computer Science - UniVr
Strada le Grazie, 15 - Verona
Ca' Vignal

located here

https://goo.gl/maps/Yx2JU

Abstract and structure of the course

Optimal stopping problems are very common in economics and finance (as well as in
other fields such as sequential statistics), think for instance of choosing the best time to
sell some good (e.g. a house) or to exercise a given option. The aim of this course is
explaining in detail the main solution methods and how they can be applied to some concrete
examples coming from economics and finance. A good knowledge of probability theory and
martingales in discrete time is a very welcomed prerequisite.

The list of topics will be:

1. Optimal stopping problem (OSP): motivation and examples.
2. Solution to OSP via Snell envelop and backward induction.
3. Zero-sum stopping games (aka Dynkin games).
4. Applications to finance and economics.



References:

• Neveu, J. (1975). Discrete-parameter martingales (Vol. 10). Elsevier.
• Peskir, G., and Shiryaev, A. (2006). Optimal stopping and free-boundary problems
(pp. 123-142). Birkhäuser Basel.
• Ghemawat, P., and Nalebuff, B. (1985). Exit. The RAND Journal of Economics,
184-194.
• Solan, E., and Vieille, N. (2005). Stopping games: recent results. In Advances in
Dynamic Games (pp. 235-245). Birkhäuser Boston.

___________

Do not hesitate to contact me for further details: luca.dipersio@univr.it

LuCa

__
Luca Di Persio - PhD
assistant professor of
Probability and Mathematical Finance

Dept. Informatics University of Verona
strada le Grazie 15 - 37134 Verona - Italy
Tel  :   +39  045  802 7968

Dept. Math  University of Trento
V. Sommarive, 14 - 38123 Povo - Italy
Tel  :   +39  0461  281686