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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61) - Hardcover
Synopsis
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.
"synopsis" may belong to another edition of this title.
About the Author
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
From the Back Cover
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.
"About this title" may belong to another edition of this title.
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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Springer (edition 2009), 2009
ISBN 10: 3540894993
ISBN 13: 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications (Hardcover)
Published by
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2009
ISBN 10: 3540894993
ISBN 13: 9783540894995
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Hardcover. Condition: new. Hardcover. 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. This text 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9783540894995
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