University of Calgary

MATH 691.05 - Stochastic Optimal Control and Applications in Finance - Spring 2022

Topics include specific areas of mathematical finance and build on Mathematics 681. Lévy Processes (LP): fundamental concepts associated with LP such as infinite divisibility, the Lévy-Khintchine formula, the Lévy-Itô decomposition, subordinators, LP as time-changed Brownian motions, and also dealing with semi-groups and generators of LP, the Itô formula for LP, the Girsanov theorem, stochastic differential equations driven by LP, the Feynman-Kac formula, applications of LP and numerical simulation of LP. Credit Risk: corporate bond markets, modelling the bankruptcy risk of a firm, and understanding how corporate bonds are priced. Stochastic Optimal Control and Applications in Finance: An introduction to the theory of stochastic optimal control and applications in finance and economics. Dynamic programming approach to optimal controls, solutions to several classes of typical optimal control problems, and application of the general theory to some classical models in finance and economics.
This course may not be repeated for credit.


  • (3-0)


  • Mathematics 681 and admission to a graduate program in Mathematics and Statistics.


Powered by UNITIS. More features.