BIBLIO is the largest independent book marketplace in the world, with over 100 million books.

Skip to content

Continuous-time Stochastic Control and Optimization with Financial Applications
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability) Hardback - 2009 - 2009th Edition

by Pham, Huyên

Add to wish list

Reader reviews for Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)

From the publisher

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.

From the rear cover

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.

Details

  • Title Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)
  • Author Pham, Huyên
  • Binding Hardback
  • Edition number 2009th
  • Edition 2009
  • Pages 232
  • Language ENG
  • Publisher Springer, Berlin, Heidelberg:
  • Publication date 2009-07
  • Features Bibliography, Index, Table of Contents
  • ISBN 9783540894995

About the author

1995: PhD in applied mathematics, University Paris Dauphine

1995: Assistant Professor, University Marne-la-Valle

1999: Professor, University Paris 7

2006: Member Institut Universitaire de France

More Copies for Sale

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic...
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)

by Pham, HuyÔøΩn

  • Used
  • Very good
  • Hardback
Condition
Very good
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
2
Seller
Item price
A$85.44
A$7.27 Delivery to USA

Show details

Description:
Springer, 6/18/2009 12:00:01 A. hardcover. Very Good. 0.7874 9.4882 6.3386.
Add to wish list
Item price
A$85.44
A$7.27 Delivery to USA
Continuous-Time Stochastic Control and Optimization with Financial Applications

Continuous-Time Stochastic Control and Optimization with Financial Applications

by Huyen Pham

  • New
  • Hardback
Condition
New
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
1046
Seller
Item price
A$137.47
A$15.63 Delivery to USA

Show details

Description:
Hardcover. New. New Book; Fast Shipping from UK; Not signed; Not First Edition; 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
Add to wish list
Item price
A$137.47
A$15.63 Delivery to USA
Continuous-Time Stochastic Control and Optimization With Financial Applications
Stock photo: cover may vary

Continuous-Time Stochastic Control and Optimization With Financial Applications

by Pham, Huyen,

  • Used
Condition
New
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
5
Seller
Item price
A$126.24
A$5.81 Delivery to USA

Show details

Description:
like new.
Add to wish list
Item price
A$126.24
A$5.81 Delivery to USA
Continuous-Time Stochastic Control and Optimization With Financial Applications
Stock photo: cover may vary

Continuous-Time Stochastic Control and Optimization With Financial Applications

by Pham, Huyen,

  • New
Condition
New
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
5
Seller
Item price
A$140.80
A$5.81 Delivery to USA

Show details

Description:
new.
Add to wish list
Item price
A$140.80
A$5.81 Delivery to USA
Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic...
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)

by Pham, Huy

  • New
  • Hardback
Condition
New
Edition
2009
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
1
Seller
Item price
A$146.63
A$21.86 Delivery to USA

Show details

Description:
Springer, 2009-06-18. 2009. hardcover. New. 6.25x0.75x9.25. Buy with confidence. Excellent Customer Service & Return policy.
Add to wish list
Item price
A$146.63
A$21.86 Delivery to USA
Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic...
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)

by Pham, Huyên

  • Used
  • Good
  • Hardback
Condition
Good
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
1
Seller
Item price
A$152.21
Free Delivery to USA

Show details

Description:
hardcover. Good. Access codes and supplements are not guaranteed with used items. May be an ex-library book.
Add to wish list
Item price
A$152.21
Free Delivery to USA
Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic...
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability, 61)

by Pham, Huy

  • Used
  • Hardback
Condition
Used
Edition
2009
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
1
Seller
Item price
A$154.07
A$21.86 Delivery to USA

Show details

Description:
Springer, 2009-06-18. 2009. hardcover. Used: Good. 6.25x0.75x9.25. Buy with confidence. Excellent Customer Service & Return policy.
Add to wish list
Item price
A$154.07
A$21.86 Delivery to USA
Continuous-time Stochastic Control and Optimization With Financial Applications
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization With Financial Applications

by Pham, H.

  • New
  • Hardback
Condition
New
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
2
Seller
Item price
A$208.27
A$29.34 Delivery to USA

Show details

Description:
Springer Verlag, 2009. Hardcover. New. 1st edition. 232 pages. 9.29x6.30x0.71 inches.
Add to wish list
Item price
A$208.27
A$29.34 Delivery to USA
Continuous-time Stochastic Control and Optimization with Financial Applications
Stock photo: cover may vary

Continuous-time Stochastic Control and Optimization with Financial Applications

by Huyên Pham

  • New
  • Hardback
Condition
New
Binding
Hardcover
ISBN 10 / ISBN 13
9783540894995 / 3540894993
Quantity available
1
Seller
Item price
A$164.64
A$5.81 Delivery to USA

Show details

Description:
Springer , pp. 256 . Hardback. New.
Add to wish list
Item price
A$164.64
A$5.81 Delivery to USA