Continuous-time Stochastic Control and Optimization with Financial Applications

Language: English

Published by Springer, 2010

3642100449 / 9783642100444

Series: Book 18 of 30 - Stochastic Modelling and Applied Probability

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.…

Title
Continuous-time Stochastic Control and Optimization with Financial Applications
Author
Huyên Pham
Publisher
Springer
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3642100449
ISBN 13
9783642100444
Item weight
388 grams
Dimensions
235x155x14 mm
Series
Book 18 of 30: Stochastic Modelling and Applied Probability

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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