Continuous-time Stochastic Control and Optimization with Financial Applications

Mey 2009 · Stochastic Modelling and Applied Probability Ibhuku elingu-61 · Springer Science & Business Media

I-Ebook

232

Amakhasi

Mayelana nale ebook

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.

Mayelana nomlobi

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

Nikeza le ebook isilinganiso

Sitshele ukuthi ucabangani.

Ulwazi lokufunda

Amasmathifoni namathebulethi

Faka uhlelo lokusebenza lwe-Google Play Amabhuku lwe-Android ne-iPad/iPhone. Livunyelaniswa ngokuzenzakalela ne-akhawunti yakho liphinde likuvumele ukuthi ufunde uxhunywe ku-inthanethi noma ungaxhunyiwe noma ngabe ukuphi.

Amakhompyutha aphathekayo namakhompyutha

Ungalalela ama-audiobook athengwe ku-Google Play usebenzisa isiphequluli sewebhu sekhompuyutha yakho.

Ama-eReaders namanye amadivayisi

Ukuze ufunde kumadivayisi e-e-ink afana ne-Kobo eReaders, uzodinga ukudawuniloda ifayela futhi ulidlulisele kudivayisi yakho. Landela imiyalelo Yesikhungo Sosizo eningiliziwe ukuze udlulise amafayela kuma-eReader asekelwayo.