Continuous-time Stochastic Control and Optimization with Financial Applications
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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên Pham
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.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
| SKU | CIN3642100449VG |
| ISBN 13 | 9783642100444 |
| ISBN 10 | 3642100449 |
| Title | Continuous-time Stochastic Control and Optimization with Financial Applications |
| Author | Huyên Pham |
| Series | Stochastic Modelling And Applied Probability |
| Condition | Very Good |
| Binding Type | Paperback |
| Publisher | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| Year published | 2010-10-19 |
| Number of pages | 232 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us |
