Optimal Investment
Springer Berlin (Verlag)
978-3-642-35201-0 (ISBN)
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.
Preface.-1 The Merton Problem.-2 Variations.-3 Numerical Solution.-4 How Well Does It Work.-Index.-References.
From the book reviews:
"This short book would be an excellent supplementary text for a course in quantitative finance or useful to researchers or practitioners looking for an overview of one of the foundations of modern quantitative finance." (IEEE Control Systems Magazine, October, 2013)
"This book first focuses on the classical Merton problems and presents a range of techniques for solving optimal investment/consumption problems. ... I really enjoyed reading this book. ... it would be very helpful to students and researchers who are interested in financial engineering, corporate finance and asset pricing, and it would be worth keeping the book on their shelves." (Zhaojun Yang, Mathematical Reviews, September, 2013)
| Erscheint lt. Verlag | 9.1.2013 |
|---|---|
| Reihe/Serie | SpringerBriefs in Quantitative Finance |
| Zusatzinfo | X, 156 p. 44 illus., 3 illus. in color. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 270 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management | |
| Schlagworte | 91G10, 91G70, 91G80, 49L20, 65K15 • asset returns • Hamilton-jacobi-Bellman equation • Investment • Ito's formula • Kapitalanlage • Martingale • optimal investment • Quantitative Finance |
| ISBN-10 | 3-642-35201-4 / 3642352014 |
| ISBN-13 | 978-3-642-35201-0 / 9783642352010 |
| Zustand | Neuware |
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