Optimal Control Models in Finance

1. Front Matter

   Pages i-xviii

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2. Optimal Control Models in Finance

   Pages 1-20

3. The STV Approach to Financial Optimal Control Models

   Pages 21-37

4. A Financial Oscillator Model

   Pages 39-89

5. An Optimal Corporate Financing Model

   Pages 91-108

6. Further Computational Experiments and Results

   Pages 109-139

7. Conclusion

   Pages 141-143

8. Back Matter

   Pages 145-201

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This book reports initial efforts in providing some useful extensions in - nancial modeling; further work is necessary to complete the research agenda. The demonstrated extensions in this book in the computation and modeling of optimal control in finance have shown the need and potential for further areas of study in financial modeling. Potentials are in both the mathematical structure and computational aspects of dynamic optimization. There are needs for more organized and coordinated computational approaches. These ext- sions will make dynamic financial optimization models relatively more stable for applications to academic and practical exercises in the areas of financial optimization, forecasting, planning and optimal social choice. This book will be useful to graduate students and academics in finance, mathematical economics, operations research and computer science. Prof- sional practitioners in the above areas will find the book interesting and inf- mative. The authors thank Professor B.D. Craven for providing extensive guidance and assistance in undertaking this research. This work owes significantly to him, which will be evident throughout the whole book. The differential eq- tion solver “nqq” used in this book was first developed by Professor Craven. Editorial assistance provided by Matthew Clarke, Margarita Kumnick and Tom Lun is also highly appreciated. Ping Chen also wants to thank her parents for their constant support and love during the past four years.

• algorithms
• optimal control
• optimization

"This book by Ping Chen and Sardar M. N. Islam discusses the issue of the determination of optimal capital structure for corporations and the economy. They have developed an optimal control model for optimal financing involving a dynamic system with switching times. A new computational method and a new computer program named CSTVA are developed and optimal financing implications of the model results are analysed in this book. This book makes a significant contribution to the literature and will surely prove to be a boon to students, academics, and practitioners in finance, optimal control, and computer programming.” —Professor David W. K. Yeung, Professor of Decision Sciences, Hong Kong Baptist University, Director of Center of Game Theory, and Managing Editor, International Game Theory Review

• Victoria University, Melbourne, Australia

  Ping Chen, Sardar M. N. Islam

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