Special Topics in Financial Mathematics:

Fall 2022, PSTAT 262FM

BSDEs and Applications to Finance

Recommended Prerequisites: PSTAT 223 A-B Stochastic Calculus and Financial Modeling

TEXT:
R. Carmona: Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

SIAM, Financial Mathematics Series, 2016.

Friday 10:00 -- 11:50 - South Hall 5607F

Jean-Pierre Fouque

Office: South Hall 5504
fouque at pstat.ucsb.edu