Stochastic Modelling and Applied Probability

Continuous-time Stochastic Control and Optimization with Financial Applications

Authors: Pham, Huyên

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  • ISBN 978-3-642-10044-4
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About this Textbook

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.

About the authors

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

Table of contents (7 chapters)

  • Some elements of stochastic analysis

    Pham, Huyên

    Pages 1-26

  • Stochastic optimization problems. Examples in finance

    Pham, Huyên

    Pages 27-35

  • The classical PDE approach to dynamic programming

    Pham, Huyên

    Pages 37-60

  • The viscosity solutions approach to stochastic control problems

    Pham, Huyên

    Pages 61-94

  • Optimal switching and free boundary problems

    Pham, Huyên

    Pages 95-137

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-3-540-89500-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $59.95
price for USA
  • ISBN 978-3-540-89499-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $59.95
price for USA
  • ISBN 978-3-642-10044-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Continuous-time Stochastic Control and Optimization with Financial Applications
Authors
Series Title
Stochastic Modelling and Applied Probability
Series Volume
61
Copyright
2009
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-89500-8
DOI
10.1007/978-3-540-89500-8
Hardcover ISBN
978-3-540-89499-5
Softcover ISBN
978-3-642-10044-4
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XVII, 232
Additional Information
Original French edition published as volume 61 in the series: Mathématiques & Applications
Topics