| Lecturer: | Dr Albina Danilova |
| Room: | B409 (4th floor, Columbia House) |
| Email: | a.danilova@lse.ac.uk |
| Office hours: | Please see the office hours page |
This is a half-unit course, with lectures in the Lent Term.
There will also be revision lectures in the Summer Term.
Seminars start in Week 2 of the Lent Term. Please check the Timetables website for further information.
Homework will be regularly assigned during the course. The arrangements for this will be announced in the first lecture.
Reading List
Indicative reading
R.A.Dana and M.Jeanblanc, Financial Markets in Continuous Time; Springer;
D.Duffie, Dynamic Asset Pricing, Princeton University Press;
I.Karatzas and S.E.Shreve, Methods of Mathematical Finance, Springer.
Course Materials
Please note that this course makes use of the School's virtual learning environment Moodle to host its main materials. You will need to login using your LSE login and then 'enrol' for MA418 to access these.
This course is concerned with the theory of optimal
investment and consumption.
The course starts with the derivation of utility functions from the axioms of an agent's preferences. Utility functions are then used as a measure of portfolio performance in a financial market. Optimal investment and consumption strategies are obtained for various utility functions in both complete and some types of incomplete markets. Equilibrium and asset price formation are considered in the context of complete and informationally incomplete markets.
There will be weekly seminars (classes) on this course, and regular homework assignments. The arrangements for these will be announced in the first lecture.
The office hours are meant for any questions and problems
with the course material that have not or cannot be covered in the normal
lectures and classes. You are strongly recommended to make use of them.
My office hours can be found on the departmental
office hours page (but these may sometimes change at short notice so do
please check before coming to LSE).
MA415 The Mathematics of the Black and Scholes Theory, or ST409 Stochastic Processes, or MA411 Probability and Measure, or equivalent. Knowledge of Ito integral and Ito formula is essential.