Universitext

Markov Decision Processes with Applications to Finance

Authors: Bäuerle, Nicole, Rieder, Ulrich

  • Contains various applications with a particular view towards finance/insurance
  • Avoids many technical (e.g. measure theoretic) problems
  • The collection of topics is unique
  • Approach is problem-oriented and illustrated by many examples
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eBook $54.99
price for USA (gross)
  • ISBN 978-3-642-18324-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $74.95
price for USA
  • ISBN 978-3-642-18323-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
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  • can be used across all devices
About this Textbook

The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems.

The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers  in both applied probability and finance, and provides exercises (without solutions).

 

About the authors

Nicole Bäuerle is full professor for Stochastics at the Karlsruhe Institute of Technology. Currently she is in the board of the Fachgruppe Stochastik and the DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik). She is editor of the journals "Stochastic Models" and "Mathematical Methods of Operations Research".

Ulrich Rieder is full professor for Optimization and Operations Research at the University of Ulm since 1980. He helped to establish a new program in applied mathematics at Ulm, called Wirtschaftsmathematik. From 1990-2008 he was editor-in-chief of "Mathematical Methods of Operations Research". He is editor of several journals in the areas of operations research and finance.

Reviews

From the reviews:

“This book presents Markov decision processes with general state and action spaces and includes various state-of-the-art applications that stem from finance and operations research. … very helpful, not only for graduate students, but also for researchers working in the field of MDPs and finance. The authors do not focus only on discrete-time MDPs, but provide the description of different classes of Markov models … . Each chapter ends with remarks, where the potential reader may find further hints concerning references.” (Anna Jaskiewicz, Zentralblatt MATH, Vol. 1236, 2012)


Table of contents (14 chapters)

  • Introduction and First Examples

    Bäuerle, Nicole (et al.)

    Pages 1-9

  • Theory of Finite Horizon Markov Decision Processes

    Bäuerle, Nicole (et al.)

    Pages 13-57

  • The Financial Markets

    Bäuerle, Nicole (et al.)

    Pages 59-74

  • Financial Optimization Problems

    Bäuerle, Nicole (et al.)

    Pages 75-144

  • Partially Observable Markov Decision Processes

    Bäuerle, Nicole (et al.)

    Pages 147-174

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-642-18324-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $74.95
price for USA
  • ISBN 978-3-642-18323-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Markov Decision Processes with Applications to Finance
Authors
Series Title
Universitext
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag GmbH Berlin Heidelberg
eBook ISBN
978-3-642-18324-9
DOI
10.1007/978-3-642-18324-9
Softcover ISBN
978-3-642-18323-2
Series ISSN
0172-5939
Edition Number
1
Number of Pages
XVI, 388
Number of Illustrations and Tables
24 b/w illustrations
Topics