| Purdue Computational Finance Program | |
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Approximations for Some Stochastic Control Problems in Financial Engineering
April 18, 2002
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Abstract:
Many problems involving derivative securities in financial engineering can be formulated as an optimization of the expectation of a state-dependent utility function. Some examples are partial hedging of derivative risk and utility pricing. We describe the dynamic programming approach to such problems and some asymptotic approximations to optimal trading strategies in markets with stochastic volatility. |
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2002 Purdue University Last Update: Apr 11, 2002 Please send comments and suggestions to the Webmaster. |