| Continuous-Time Stochastic Control and Optimization with Financial Applications 2009 Edition Contributor(s): Pham, Huyên (Author) |
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ISBN: 3540894993 ISBN-13: 9783540894995 Publisher: Springer OUR PRICE: $75.99 Product Type: Hardcover - Other Formats Published: June 2009 |
| Additional Information |
| BISAC Categories: - Computers | Desktop Applications - Personal Finance Applications - Business & Economics | Finance - General - Mathematics | Game Theory |
| Dewey: 651.150 |
| LCCN: 2009926070 |
| Series: Stochastic Modelling and Applied Probability |
| Physical Information: 0.7" H x 6.3" W x 9.4" (1.10 lbs) 232 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Stochastic optimization problems arise in decision-making problems under uncertainty, and find numerous and 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 concrete examples occurring in finance: portfolio allocation, option hedging, real options, optimal investment, etc. The volume is directed twoards graduate students and researchers in mathematical finance. It will also appeal to applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance. |