This course presents the problem of static optimization, with and without (equality and inequality) constraints, both from the theoretical (optimality conditions) and methodological (algorithms) point of view. Economics and financial applications are provided. Dynamic optimization is also introduced
This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. We study fundamental notions and techniques necessary for applications in finance such as option pricing, hedging, optimal portfolio choice and prediction problems.
The course covers a wide range of advanced topics in derivatives pricing
Game theory studies the strategic interactions between rational agents. It has a myriad of applications in politics, business, sports. A special branch of Game Theory, Auction Theory, has recently guided the development of Ebay, Google advertising auctions, and of the Wireless spectrum auctions.