We are pleased to welcome at ESSEC Business school on Monday 11th, Tuesday 12th and Wednesday 13th October 2021, Professor Paolo Guiotto from the University of Padova, Italy.
Professor Guiotto will teach a 9 hour Phd course on “Nonstandard Mathematical Methods in Asset Allocation”, sponsored by LABEX.
Content:
- Introduction : Classical static allocation Problems
- Dynamic Allocation Problems : Martingale Approach, examples and analytic solutions
- A crash course on Malliavin Calculus
- Application of Malliavin Calculus to Dynamic Allocation
This course will be taught in class and online.
https://www.eventbrite.fr/e/billets-labex-phd-course-180884228597