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.
Rezensionen / Stimmen
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)
Produkt-Info
Reihe
Auflage
Sprache
Verlagsort
Verlagsgruppe
Zielgruppe
Für Beruf und Forschung
Professional/practitioner
Illustrationen
41 s/w Abbildungen, 3 farbige Abbildungen
3 Illustrations, color; 41 Illustrations, black and white; X, 156 p. 44 illus., 3 illus. in color.
Maße
Höhe: 235 mm
Breite: 155 mm
Dicke: 10 mm
Gewicht
ISBN-13
978-3-642-35201-0 (9783642352010)
DOI
10.1007/978-3-642-35202-7
Schweitzer Klassifikation
Preface.- The Merton Problem.- Variations.- Numerical Solution.- How Well Does It Work.- Index.- References.
