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商品詳細
Continuous-time Stochastic Control and Optimization with Financial Applications. 金融の応用を伴う連続時間確率制御と最適化
・ISBN 978-3-540-89499-5 hard EUR 74.99
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| 著者・編者 | Pham, Huyên, |
|---|---|
| シリーズ | Stochastic Modelling and Applied Probability |
| 出版社 | (Springer, GW) |
| 出版年月 | 2009 |
| ページ数 | 260 pp. |
| 言語 | ENG |
| ニュース番号 | ＜565-207 565-266＞ |
解説
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.