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Continuous-Time Stochastic Control and Optimization with Financial Applications: 61 (Stochastic Modelling and Applied Probability) - Hardcover
Inhaltsangabe
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.
This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.
This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
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Über die Autorin bzw. den Autor
1995: PhD in applied mathematics, University Paris Dauphine
1995: Assistant Professor, University Marne-la-Vallée
1999: Professor, University Paris 7
2006: Member Institut Universitaire de France
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Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.
This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.
This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
- VerlagSpringer
- Erscheinungsdatum2009
- ISBN 10 3540894993
- ISBN 13 9783540894995
- EinbandTapa dura
- SpracheEnglisch
- Anzahl der Seiten256
- Kontakt zum HerstellerNicht verfügbar
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Continuous-time Stochastic Control and Optimization with Financial Applications
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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Continuous-time Stochastic Control and Optimization with Financial Applications
ISBN 10: 3540894993
ISBN 13: 9783540894995
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Buch. Zustand: Neu. Neuware -Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing toknow more about the use of stochastic optimization methods in finance.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 256 pp. Englisch. Bestandsnummer des Verkäufers 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications
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Springer Berlin Heidelberg Jun 2009, 2009
ISBN 10: 3540894993
ISBN 13: 9783540894995
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Buch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance. 256 pp. Englisch. Bestandsnummer des Verkäufers 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications
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Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing toknow more about the use of stochastic optimization methods in finance. Bestandsnummer des Verkäufers 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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