
Continuous-time Stochastic Control and Optimization with Financial Applications
Kurzinformation



inkl. MwSt. Versandinformationen
Artikel zZt. nicht lieferbar
Artikel zZt. nicht lieferbar

Beschreibung
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. von Pham, Huyên
Produktdetails

So garantieren wir Dir zu jeder Zeit Premiumqualität.
Über den Autor
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
- Kartoniert
- 308 Seiten
- Erschienen 2012
- Springer
- hardcover
- 350 Seiten
- Erschienen 1985
- Springer
- hardcover
- 299 Seiten
- Erschienen 2019
- Wiley
- Gebunden
- 390 Seiten
- Erschienen 2008
- Springer
- Hardcover
- 452 Seiten
- Erschienen 2002
- Vieweg Verlag
- Hardcover
- 432 Seiten
- Erschienen 2023
- Wiley & Sons
- Hardcover -
- Erschienen 2017
- Springer
- Gebunden
- 476 Seiten
- Erschienen 2014
- Springer
- Gebunden
- 284 Seiten
- Erschienen 2014
- Springer
- paperback
- 248 Seiten
- Erschienen 2013
- Springer
- Hardcover
- 448 Seiten
- Erschienen 2015
- Wiley
- hardcover
- 645 Seiten
- Erschienen 1986
- De Gruyter
- paperback
- 320 Seiten
- Erschienen 2017
- Springer