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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.
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
Includes supplementary material: [...]
| Erscheinungsjahr: | 2010 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Seiten: | 252 |
| Reihe: | Stochastic Modelling and Applied Probability |
| Inhalt: |
xvii
232 S. |
| ISBN-13: | 9783642100444 |
| ISBN-10: | 3642100449 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: | Pham, Huyên |
| Auflage: | Softcover reprint of hardcover 1st ed. 2009 |
| Hersteller: |
Springer Berlin
Springer Berlin Heidelberg Stochastic Modelling and Applied Probability |
| Maße: | 235 x 155 x 14 mm |
| Von/Mit: | Huyên Pham |
| Erscheinungsdatum: | 19.10.2010 |
| Gewicht: | 0,388 kg |
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
Includes supplementary material: [...]
| Erscheinungsjahr: | 2010 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Seiten: | 252 |
| Reihe: | Stochastic Modelling and Applied Probability |
| Inhalt: |
xvii
232 S. |
| ISBN-13: | 9783642100444 |
| ISBN-10: | 3642100449 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: | Pham, Huyên |
| Auflage: | Softcover reprint of hardcover 1st ed. 2009 |
| Hersteller: |
Springer Berlin
Springer Berlin Heidelberg Stochastic Modelling and Applied Probability |
| Maße: | 235 x 155 x 14 mm |
| Von/Mit: | Huyên Pham |
| Erscheinungsdatum: | 19.10.2010 |
| Gewicht: | 0,388 kg |
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