Continuous-Time Stochastic Control and Optimization with Financial Applications pdf epub mobi txt 電子書下載2025

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出版者:Springer

作者:Huyen Pham

出品人:

頁數:256

译者:

出版時間:2009-6-18

價格:GBP 36.99

裝幀:Hardcover

isbn號碼:9783540894995

叢書系列:

圖書標籤:

金融數學
數學
隨機控製
金融
Quant
金融工程
最優化
Stochastic Control
Optimization
Financial Mathematics
Continuous-Time
Stochastic Processes
Mathematical Finance
Control Theory
Dynamic Programming
Filtering
Estimation

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具體描述

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.