The Filtering Problem and Portfolio Optimization under Partial Information – Summer Term 2019
On this webpage you find all information on my seminar on The Filtering Problem and Portfolio Optimization under Partial Information in the summer term 2019 at TU Berlin.
In many fields of applications one faces the problem of filtering the true state of a system out of a noisy signal. Classical examples entail
- Speech Recognition: Filter the actual spoken words out of a noisy sound file;
- Parameter Estimation for Financial Models: Determine the drift or volatility of an asset price by only observing the price process.
In this seminar, we first discuss this filtering problem from a theoretical point of view before studying several applications arising in mathematical finance in the context of optimal portfolio choice in models with partially observable price processes.
The seminar will be held in German as a block seminar towards the end of the semester. The exact dates will be announced during the first meeting held on
- Friday, April 12, 2019 at 10:00h in room MA-721.
In this meeting, we will discuss all administrative matters (assessment criteria, presentations, …) and distribute the individual topics.
The seminar is directed towards Master Students who are familiar with the basics of Stochastic Analysis / Itô-Calculus and Financial Mathematics. Some knowledge of Stochastic Optimal Control is advantageous, but not strictly necessary.
If you are interested in participating in the seminar, I would appreciate if you could let me know via E-Mail in advance of the first meeting, so that I have a rough overview of how many talks to prepare.