Continuous-time Stochastic Control and Optimization with Financial Applications

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Language: English

Published by Springer, Springer Jun 2009, 2009

3540894993 / 9783540894995

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

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 256 pp. Englisch.…

Title
Continuous-time Stochastic Control and Optimization with Financial Applications
Author
Huyên Pham
Publisher
Springer, Springer Jun 2009
Publication year
2009
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3540894993
ISBN 13
9783540894995
Item weight
553 grams
Dimensions
241x160x20 mm
Series
Book 18 of 30: Stochastic Modelling and Applied Probability

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

Item5 to 15 business days5 to 15 business days
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BuchWeltWeit Ludwig Meier e.K.

Germany