Continuous-time Stochastic Control and Optimization with Financial Applications
Produktnummer:
1813fc4eb777d64908be754fabe80f9ba3
| Autor: | Pham, Huyên |
|---|---|
| Themengebiete: | Martingale Optimization Methods Stochastic Differential Equations Stochastic Optimization backward stochastic differential equations duality dynamic programming finance optimization stochastic Optimisation |
| Veröffentlichungsdatum: | 19.10.2010 |
| EAN: | 9783642100444 |
| Sprache: | Englisch |
| Seitenzahl: | 232 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer Berlin |
Produktinformationen "Continuous-time Stochastic Control and Optimization with Financial Applications"
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.
Sie möchten lieber vor Ort einkaufen?
Sie haben Fragen zu diesem oder anderen Produkten oder möchten einfach gerne analog im Laden stöbern? Wir sind gerne für Sie da und beraten Sie auch telefonisch.
Juristische Fachbuchhandlung
Georg Blendl
Parcellistraße 5 (Maxburg)
8033 München
Montag - Freitag: 8:15 -18 Uhr
Samstags geschlossen