Investment, Consumption and Pricing in Constrained and Unbounded Markets - Couverture souple

Hu, Ying; Liang, Gechun; Tang, Shanjian

Couverture souple

ISBN 10 : 1611979129 ISBN 13 : 9781611979121

Editeur : Society for Industrial & Applied Mathematics,U.S., 2026

Synopsis

The monograph addresses three fundamental issues in a financial market: investment, consumption, and pricing using the cutting-edge quadratic backward stochastic differential equation (BSDE). The book provides

• an unprecedented systematic application of the theory of quadratic BSDEs to general utility maximization problems in constrained and unbounded financial markets;
• the first treatment of general Epstein-Zin utility maximization problems with portfolio constraints in a non-Markovian framework, marking significant progress in the dynamic investment-consumption problems; and
• an excellent entry point for research students and early-career researchers in mathematical finance by offering a clear pathway into the field with practical examples.

A propos du livre

À propos des auteurs

Ying Hu is a Professor at Institut de Recherche Mathématique de Rennes, Université de Rennes. He held a postdoctoral position at Aix Marseille Université and as a lecturer at Lyon 1 Université, Université Clermont Auvergne, and École Polytechnique Fédérale de Lausanne before joining Université de Rennes in 1997.

Gechun Liang is a Reader in the Department of Statistics at the University of Warwick. He was a postdoctoral fellow at the Oxford-Man Institute of Quantitative Finance and a senior fellow and Marie Curie fellow at the Freiburg Institute for Advanced Studies at the University of Freiburg.

Shanjian Tang is a Professor at Fudan University. He was a visiting professor at Aix Marseille Université, a Croucher scholar, an Alexander von Humboldt research fellow at Konstanz Universitaet, and a World Class University Invited Professor at Ajou University. He was elected a SIAM fellow in October 2021.

Détails de l'édition

• Éditeur: Society for Industrial & Applied Mathematics,U.S.
• Date d'édition: 2026
• Langue: anglais
• ISBN 10: 1611979129
• ISBN 13: 9781611979121
• Reliure: Broché
• Nombre de pages: 123
• Coordonnées du fabricant: JOSSEY-BASS; https://www.wiley.com/en-us; ; 111 River Street; Hoboken; NJ; 7030; Etats-Unis
• Personne responsable: non disponible