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

Pham, Huy�n

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ISBN 10: 3540894993 ISBN 13: 9783540894995

Published by Springer, 2009

Language: English

Condition: New Hardcover

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Bibliographic Details

Title

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

Publisher

Springer

Publication Date

2009

Language

English

ISBN 10

3540894993

ISBN 13

9783540894995

Binding

Hardcover

Condition

New

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About this title

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.

About the Author

1995: PhD in applied mathematics, University Paris Dauphine

1995: Assistant Professor, University Marne-la-Vall�e

1999: Professor, University Paris 7

2006: Member Institut Universitaire de France

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