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.
General
Imprint: |
Springer-Verlag
|
Country of origin: |
Germany |
Series: |
Stochastic Modelling and Applied Probability, 61 |
Release date: |
June 2009 |
First published: |
2009 |
Authors: |
Huyen Pham
|
Dimensions: |
235 x 155 x 20mm (L x W x T) |
Format: |
Hardcover
|
Pages: |
232 |
Edition: |
2009 ed. |
ISBN-13: |
978-3-540-89499-5 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
3-540-89499-3 |
Barcode: |
9783540894995 |
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