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5 produkter
5 produkter
412 kr
Skickas inom 5-8 vardagar
Del 1919 - Lecture Notes in Mathematics
Paris-Princeton Lectures on Mathematical Finance 2004
Häftad, Engelska, 2007
560 kr
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This is the third volume in "The Paris-Princeton Lectures in Financial Mathematics", which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by Rene Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyen Pham.
323 kr
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L'objectif et l'originalité de ce livre est de présenter les différents aspects et méthodes utilisés dans la résolution des problèmes d'optimisation stochastique avec en vue des applications plus spécifiques à la finance: gestion de portefeuille, couverture d'options, investissement optimal.
Del 61 - Stochastic Modelling and Applied Probability
Continuous-time Stochastic Control and Optimization with Financial Applications
Inbunden, Engelska, 2009
813 kr
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This text 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.
Del 61 - Stochastic Modelling and Applied Probability
Continuous-time Stochastic Control and Optimization with Financial Applications
Häftad, Engelska, 2010
813 kr
Skickas inom 10-15 vardagar
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.