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| Author | : Tomasz R. Bielecki |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 1997 |
| Genre | : Portfolio management |
| ISBN | : |
| Author | : Mark H A Davis |
| Publisher | : World Scientific |
| Total Pages | : 414 |
| Release | : 2014-07-21 |
| Genre | : Business & Economics |
| ISBN | : 9814578061 |
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.
| Author | : Darrell Duffie |
| Publisher | : Princeton University Press |
| Total Pages | : 488 |
| Release | : 2010-01-27 |
| Genre | : Business & Economics |
| ISBN | : 1400829208 |
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
| Author | : José Luis Menaldi |
| Publisher | : IOS Press |
| Total Pages | : 632 |
| Release | : 2001 |
| Genre | : Mathematics |
| ISBN | : 9781586030964 |
This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.
| Author | : Joachim Rosenthal |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 508 |
| Release | : 2012-12-06 |
| Genre | : Science |
| ISBN | : 0387216960 |
This volume contains survey and research articles by some of the leading researchers in mathematical systems theory - a vibrant research area in its own right. Many authors have taken special care that their articles are self-contained and accessible also to non-specialists.
| Author | : Klimis Ntalianis |
| Publisher | : Springer |
| Total Pages | : 290 |
| Release | : 2017-07-20 |
| Genre | : Technology & Engineering |
| ISBN | : 3319539345 |
This book reports on advanced theories and methods in three related fields of research: applied physics, system science and computers. It is organized in two main parts, the first of which covers applied physics topics, including lasers and accelerators; condensed matter, soft matter and materials science; nanoscience and quantum engineering; atomic, molecular, optical and plasma physics; as well as nuclear and high-energy particle physics. It also addresses astrophysics, gravitation, earth and environmental science, as well as medical and biological physics. The second part focuses on advances in system science and computers, exploring automatic circuit control, power systems, computer communication, fluid mechanics, simulation and modeling, software engineering, data structures and applications of artificial intelligence among other areas. Offering a collection of contributions presented at the 1st International Conference on Applied Physics, System Science and Computers (APSAC 2016), the book bridges the gap between applied physics and electrical engineering. It not only to presents new methods, but also promotes collaborations between different communities working on related topics at the interface between physics and engineering, with a special focus on communication, data modeling and visualization, quantum information, applied mechanics as well as bio and geophysics.
| Author | : Juan Julián Merelo |
| Publisher | : Springer Nature |
| Total Pages | : 414 |
| Release | : 2021-07-01 |
| Genre | : Technology & Engineering |
| ISBN | : 3030705943 |
This present book includes a set of selected revised and extended versions of the best papers presented at the 11th International Joint Conference on Computational Intelligence (IJCCI 2019) – held in Vienna, Austria, from 17 to 19 September 2019. The authors focus on three outstanding fields of Computational Intelligence through the selected panel, namely Evolutionary Computation, Fuzzy Computation and Neural Computation. Besides presenting the recent advances of the selected areas, the book aims to aggregate new and innovative solutions for confirmed researchers and, on the other hand, to provide a source of information and/or inspiration for young interested researchers or learners in the ever-expanding and current filed of Computational Intelligence. It constitutes a precious provision of knowledge for individual researchers as well as represents a valuable sustenance for collective use in academic libraries (of universities and engineering schools) relating innovative techniques in various fields of applications.
| Author | : Huyên Pham |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 243 |
| Release | : 2009-05-28 |
| Genre | : Mathematics |
| ISBN | : 3540895000 |
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.
| Author | : Makiko Nisio |
| Publisher | : Springer |
| Total Pages | : 263 |
| Release | : 2014-11-27 |
| Genre | : Mathematics |
| ISBN | : 4431551239 |
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-max principle, to be precise). Using semi-discretization arguments, we construct the nonlinear semigroups whose generators provide lower and upper Isaacs equations. Concerning partially observable control problems, we refer to stochastic parabolic equations driven by colored Wiener noises, in particular, the Zakai equation. The existence and uniqueness of solutions and regularities as well as Itô's formula are stated. A control problem for the Zakai equations has a nonlinear semigroup whose generator provides the HJB equation on a Banach space. The value function turns out to be a unique viscosity solution for the HJB equation under mild conditions. This edition provides a more generalized treatment of the topic than does the earlier book Lectures on Stochastic Control Theory (ISI Lecture Notes 9), where time-homogeneous cases are dealt with. Here, for finite time-horizon control problems, DPP was formulated as a one-parameter nonlinear semigroup, whose generator provides the HJB equation, by using a time-discretization method. The semigroup corresponds to the value function and is characterized as the envelope of Markovian transition semigroups of responses for constant control processes. Besides finite time-horizon controls, the book discusses control-stopping problems in the same frameworks.
| Author | : Jean-Luc Prigent |
| Publisher | : CRC Press |
| Total Pages | : 451 |
| Release | : 2007-05-07 |
| Genre | : Business & Economics |
| ISBN | : 142001093X |
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont
