Artículos relacionados a Time-Inconsistent Control Theory with Finance Applications...
Sinopsis
This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications.
In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent’s currentand future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.
Time-Inconsistent Control Theory with Finance Applications offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book.
"Sinopsis" puede pertenecer a otra edición de este libro.
Acerca del autor
Tomas Björk was a Professor of Mathematical Finance at the Stockholm School of Economics. He was also affiliated with KTH (Royal Institute of Technology), Sweden, and Aarhus University, Denmark. Tomas served as president of the Bachelier Finance Society, co-editor of the journal Mathematical Finance, and a member of the editorial board of Finance and Stochastics and other journals. He published numerous journal articles on mathematical finance, and in particular is known for his research on point process driven forward-rate models, consistent forward-rate curves, general interest-rate theory, finite-dimensional realizations of infinite-dimensional SDEs, good deal bounds, and time-inconsistent control theory. Tomas was the author of the widely used and influential textbook, Arbitrage Theory in Continuous Time, which is now in its fourth edition. He passed away in 2021.
Mariana Khapko is an Assistant Professor of Finance at the University of Toronto,Canada. She is also an affiliated Research Fellow of the Swedish House of Finance at the Stockholm School of Economics. Her research focuses on financial mathematics and financial markets. She has published articles on time-inconsistent control theory, asset pricing and portfolio choice, information in securities markets, and financial market design. Mariana obtained her PhD in Finance from the Stockholm School of Economics, under the supervision of Tomas Björk.
Agatha Murgoci currently works as a senior quantitative developer at Ørsted, a leading off-shore wind energy company. Prior to this, she was an assistant professor at Copenhagen Business School and at Aarhus University, Denmark. She has published papers on time-inconsistent control theory, good deal bounds, convexity corrections, and the dynamics of sovereign and bank CDS spreads. Agatha obtained her PhD in Mathematical Finance from the Stockholm School of Economics, under the supervision of Tomas Björk.
De la contraportada
This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications.
In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker's preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent's currentand future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.
Time-Inconsistent Control Theory with Finance Applications offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book.
"Sobre este título" puede pertenecer a otra edición de este libro.
Comprar nuevo
Ver este artículo
EUR 95,05
GRATIS gastos de envío desde Estados Unidos de America a España
Destinos, gastos y plazos de envío
Resultados de la búsqueda para Time-Inconsistent Control Theory with Finance Applications...
Imagen de archivo
TIME-INCONSISTENT CONTROL THEORY WITH FINANCE APPLICATIONS
Librería: Romtrade Corp., STERLING HEIGHTS, MI, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Nº de ref. del artículo: ABNR-11978
Cantidad disponible: 1 disponibles
Imagen de archivo
TIME-INCONSISTENT CONTROL THEORY WITH FINANCE APPLICATIONS
Librería: SMASS Sellers, IRVING, TX, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Brand New Original US Edition. Customer service! Satisfaction Guaranteed. Nº de ref. del artículo: ASNT3-11978
Cantidad disponible: 1 disponibles
Imagen de archivo
Time-Inconsistent Control Theory with Finance Applications (Springer Finance)
Librería: Ria Christie Collections, Uxbridge, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Condición: New. In. Nº de ref. del artículo: ria9783030818456_new
Cantidad disponible: Más de 20 disponibles
Imagen de archivo
Time-Inconsistent Control Theory with Finance Applications
Librería: Chiron Media, Wallingford, Reino Unido
Calificación del vendedor: 4 de 5 estrellas
PF. Condición: New. Nº de ref. del artículo: 6666-IUK-9783030818456
Cantidad disponible: 10 disponibles
Imagen de archivo
Time-Inconsistent Control Theory with Finance Applications (Springer Finance)
Librería: Books Puddle, New York, NY, Estados Unidos de America
Calificación del vendedor: 4 de 5 estrellas
Condición: New. 1st ed. 2021 edition NO-PA16APR2015-KAP. Nº de ref. del artículo: 26396288110
Cantidad disponible: 4 disponibles
Imagen de archivo
Time-Inconsistent Control Theory with Finance Applications
Librería: Basi6 International, Irving, TX, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Nº de ref. del artículo: ABEJUNE24-260575
Cantidad disponible: 5 disponibles
Imagen de archivo
Time-Inconsistent Control Theory with Finance Applications (Springer Finance)
Librería: Majestic Books, Hounslow, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: 401170353
Cantidad disponible: 4 disponibles
Imagen de archivo
Time-Inconsistent Control Theory with Finance Applications (Springer Finance)
Librería: Biblios, Frankfurt am main, HESSE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: 18396288100
Cantidad disponible: 4 disponibles
Imagen del vendedor
Time-Inconsistent Control Theory with Finance Applications
Publicado por
Springer Nature Switzerland AG, CH, 2022
ISBN 10: 3030818454
ISBN 13: 9783030818456
Nuevo
Paperback
Librería: Rarewaves.com UK, London, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Paperback. Condición: New. 2021 ed. This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications.In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker's preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent's currentand future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.Time-Inconsistent Control Theory with Finance Applications offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book. Nº de ref. del artículo: LU-9783030818456
Cantidad disponible: Más de 20 disponibles
Imagen del vendedor
Time-Inconsistent Control Theory with Finance Applications
Publicado por
Springer, Berlin|Springer International Publishing|Springer, 2022
ISBN 10: 3030818454
ISBN 13: 9783030818456
Nuevo
Tapa blanda
Librería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash . Nº de ref. del artículo: 732828198
Cantidad disponible: Más de 20 disponibles