Continuous-Time Stochastic Control and Optimization with Financial Applications
Pham, Huyên
ISBN 10: 3642100449 ISBN 13: 9783642100444
Editorial: Springer, 2009
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Revaluation Books, Exeter, Reino Unido
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Descripción
Descripción:
232 pages. 9.50x6.25x0.50 inches. In Stock. This item is printed on demand. N° de ref. del artículo __3642100449
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 toknow more about the use of stochastic optimization methods in finance.
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
"Sobre este título" puede pertenecer a otra edición de este libro.
Detalles bibliográficos
Título: Continuous-Time Stochastic Control and ...
Editorial: Springer
Año de publicación: 2009
Encuadernación: Paperback
Condición: Brand New
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