Continuous-Time Stochastic Control and Optimization with Financial Applications: 61 (Stochastic Modelling and Applied Probability) - Tapa dura

Libro 18 de 30: Stochastic Modelling and Applied Probability

Pham, Huyên

 
9783540894995: Continuous-Time Stochastic Control and Optimization with Financial Applications: 61 (Stochastic Modelling and Applied Probability)
Tapa dura
ISBN 10: 3540894993 ISBN 13: 9783540894995
Editorial: Springer, 2009

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del 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

De la contraportada

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2009
Idioma
Inglés
ISBN 10 
3540894993
ISBN 13 
9783540894995
Encuadernación
Tapa dura
Número de páginas
256
Contacto del fabricante
no disponible
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Otras ediciones populares con el mismo título

9783642100444: Continuous-time Stochastic Control and Optimization with Financial Applications: 61 (Stochastic Modelling and Applied Probability)

Edición Destacada

ISBN 10:  3642100449 ISBN 13:  9783642100444
Editorial: Springer, 2010
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