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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 to know more about the use of stochastic optimization methods in finance.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
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
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
- ÉditeurSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Date d'édition2009
- ISBN 10 3540894993
- ISBN 13 9783540894995
- ReliureRelié
- Langueanglais
- Nombre de pages232
- Coordonnées du fabricantnon disponible
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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Springer, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
Edité par
Springer, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
Ancien ou d'occasion
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Continuous-time Stochastic Control and Optimization with Financial Applications
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Springer Berlin Heidelberg, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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Continuous-time Stochastic Control and Optimization with Financial Applications
Edité par
Springer Berlin Heidelberg, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Buch. Etat : Neu. 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. N° de réf. du vendeur 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications
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Springer Berlin Heidelberg Jun 2009, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. 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 to know more about the use of stochastic optimization methods in finance. 256 pp. Englisch. N° de réf. du vendeur 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Jun 2009, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Buch. Etat : Neu. 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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 256 pp. Englisch. N° de réf. du vendeur 9783540894995
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)
Edité par
Springer, 2009
ISBN 10 : 3540894993
ISBN 13 : 9783540894995
Ancien ou d'occasion
Couverture rigide
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Etat : Good. Item in good condition. Textbooks may not include supplemental items i.e. CDs, access codes etc. N° de réf. du vendeur 00060439816
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Continuous-time Stochastic Control and Optimization with Financial Applications
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Etat : New. pp. 256. N° de réf. du vendeur 261373266
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