Applications of Stochastic Optimal Control to Economics and Finance

In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individua...

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Detalles Bibliográficos
Otros Autores:	Federico, Salvatore (Editor), Ferrari, Giorgio (Otro), Regis, Luca
Formato:	Libro electrónico
Idioma:	Inglés
Publicado:	Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
Materias:	Economics, finance, business & management debt crisis government debt management optimal government debt ceiling government debt ratio stochastic control decision analysis risk management Bayesian learning Markowitz problem optimal portfolio portfolio selection Markov additive processes Markov regime switching market Markovian jump securities asymptotic arbitrage complete market multiple optimal stopping general diffusion real option analysis energy imbalance market optimal reinsurance excess-of-loss reinsurance Hamilton-Jacobi-Bellman equation stochastic factor model American options least square method derivatives pricing binomial tree stochastic interest rates quadrinomial tree insurance unemployment optimal stopping geometric Brownian motion martingale free boundary problem American call option utility
Ver en Biblioteca Universitat Ramon Llull:	https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009655014506719