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Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)

Amazon.com Price:  $53.95 (as of 05/05/2019 15:02 PST- Details)

Description

Stochastic optimization problems arise in decision-making problems under uncertainty, and find more than a few applications in economics and finance. However, problems in finance have recently led to new developments in the theory of stochastic keep an eye on.

This volume provides a systematic remedy 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 up to date developments on this field, with complete and detailed proofs, and is illustrated by the use of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, and the like.

This book is directed towards graduate students and researchers in mathematical finance, and also will benefit applied mathematicians interested in financial applications and practitioners wishing to know more about using stochastic optimization methods in finance.

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