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Continuous-time Stochastic Control and Optimization with Financial Applications(SMAP Vol.61) hardcover XVII, 232 p. 09

Pham, Huyên  著

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価格 \13,285(税込)         

発行年月 2009年06月
出版社/提供元
出版国 ドイツ
言語 英語
媒体 冊子
装丁 hardcover
ページ数/巻数 XVII, 232 p.
ジャンル 洋書/社会科学/経済学/金融経済学
ISBN 9783540894995
商品コード 0200917441
本の性格 学術書
新刊案内掲載月 2009年06月
商品URL
参照
https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=0200917441

内容

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.

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