The course covers a range of issues related to investment projects valuation. The students will learn that such valuation can be done with the models for pricing standard financial contracts — specifically, options. The students will also master application of stochastic processes theory and methods of dynamic programming to account for uncertainty elements when planning for major components of investment cash flow — incomes and expenditures.
- Optimal stopping and American options
- Investments as contracts
- Dynamic optimization under uncertainty
- Sequential investment. Incremental investment
- Conservation decisions
- Dynamic equilibrum
- Investments under imperfect competition
- Brealey R. A., Myers S. C. Principles of Corporate Finance. New York: McGraw-Hill Book Company, 2003.
- Dixit A. K., Pindyck R. S. Investments under Uncertainty. Princeton University Press, 1994.
- Duffie D. Dynamic Asset Pricing Theory. Princeton University Press, 2001.
- Hull J. C. Options, Futures and other Derivatives. 8th ed. NJ: Prentice-Hall, 2011.
- Merton R. Continuous-Time Finance. Oxford, UK: Blackwell, 1992.
- Shreve S. E. Stochastic Calculus for Finance II. New York: Springer, 2004.