書目名稱 | Optimal Investment |
編輯 | L. C. G. Rogers |
視頻video | http://file.papertrans.cn/703/702889/702889.mp4 |
概述 | Presents the main methods for solving stochastic optimal control problems arising in finance.Through a large number of worked problems, illustrates how to use a combination of analytic and numerical t |
叢書名稱 | SpringerBriefs in Quantitative Finance |
圖書封面 |  |
描述 | Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. .Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques .that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data. |
出版日期 | Book 2013 |
關(guān)鍵詞 | 91G10, 91G70, 91G80, 49L20, 65K15; Hamilton-jacobi-Bellman equation; Ito‘s formula; Optimal investment; |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-642-35202-7 |
isbn_softcover | 978-3-642-35201-0 |
isbn_ebook | 978-3-642-35202-7Series ISSN 2192-7006 Series E-ISSN 2192-7014 |
issn_series | 2192-7006 |
copyright | Springer-Verlag Berlin Heidelberg 2013 |