Dynamic Allocation And Pricing In Incomplete Markets

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Dynamic Allocation And Pricing In Incomplete Markets

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Author : Makoto Saito
language : en
Publisher:
Release Date : 1998

Dynamic Allocation And Pricing In Incomplete Markets written by Makoto Saito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Capital assets pricing model categories.

Handbooks In Operations Research And Management Science Financial Engineering

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Author : John R. Birge
language : en
Publisher: Elsevier
Release Date : 2007-11-16

Handbooks In Operations Research And Management Science Financial Engineering written by John R. Birge and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Business & Economics categories.

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Bank Of Japan Monetary And Economic Studies

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Author :
language : en
Publisher:
Release Date : 2000

Bank Of Japan Monetary And Economic Studies written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Finance categories.

Dynamic Asset Pricing Theory

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Author : Darrell Duffie
language : en
Publisher: Princeton University Press
Release Date : 2010-01-27

Dynamic Asset Pricing Theory written by Darrell Duffie and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-27 with Business & Economics categories.

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.

Monetary And Economic Studies

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Author :
language : en
Publisher:
Release Date : 2000

Monetary And Economic Studies written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Finance categories.

Institutions Equilibria And Efficiency

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Author : Christian Schultz
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-04-22

Institutions Equilibria And Efficiency written by Christian Schultz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-22 with Business & Economics categories.

Competition and efficiency is at the core of economic theory. This volume collects papers of leading scholars, which extend the conventional general equilibrium model in important ways: Efficiency and price regulation are studied when markets are incomplete and existence of equilibria in such settings is proven under very general preference assumptions. The model is extended to include geographical location choice, a commodity space incorporating manufacturing imprecision and preferences for club-membership, schools and firms. Inefficiencies arising from household externalities or group membership are evaluated. Core equivalence is shown for bargaining economies. The theory of risk aversion is extended and the relation between risk taking and wealth is experimentally investigated. Other topics include determinacy in OLG with cash-in-advance constraints, income distribution and democracy in OLG, learning in OLG and in games, optimal pricing of derivative securities, the impact of heterogeneity at the individual level for aggregate consumption, and adaptive contracting in view of uncertainty.

Control Theory And Related Topics In Memory Of Professor Xunjing Li

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Author : Shanjian Tang
language : en
Publisher: World Scientific
Release Date : 2007-09-27

Control Theory And Related Topics In Memory Of Professor Xunjing Li written by Shanjian Tang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-27 with Technology & Engineering categories.

Xunjing Li (1935-2003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global community of optimal control theory of distributed parameter systems. He has made important contributions to the optimal control theory of distributed parameter systems, in particular regarding the first-order necessary conditions (Pontryagin-type maximum principle) for optimal control of nonlinear infinite-dimensional systems. He directed the Seminar of Control Theory at Fudan towards stochastic control theory in 1980s, and mathematical finance in 1990s, which has led to several important subsequent developments in both closely interactive fields. These remarkable efforts in scientific research and education, among others, gave birth to the so-called “Fudan School”.This proceedings volume includes a collection of original research papers or reviews authored or co-authored by Xunjing Li's former students, postdoctoral fellows, and mentored scholars in the areas of control theory, dynamic systems, mathematical finance, and stochastic analysis, among others.

Risk And Financial Management

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Author : Charles S. Tapiero
language : en
Publisher: John Wiley & Sons
Release Date : 2004-04-23

Risk And Financial Management written by Charles S. Tapiero and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-04-23 with Mathematics categories.

Financial risk management has become a popular practice amongst financial institutions to protect against the adverse effects of uncertainty caused by fluctuations in interest rates, exchange rates, commodity prices, and equity prices. New financial instruments and mathematical techniques are continuously developed and introduced in financial practice. These techniques are being used by an increasing number of firms, traders and financial risk managers across various industries. Risk and Financial Management: Mathematical and Computational Methods confronts the many issues and controversies, and explains the fundamental concepts that underpin financial risk management. Provides a comprehensive introduction to the core topics of risk and financial management. Adopts a pragmatic approach, focused on computational, rather than just theoretical, methods. Bridges the gap between theory and practice in financial risk management Includes coverage of utility theory, probability, options and derivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, and financial risk management, and finance practitioners. Includes extensive reference lists, applications and suggestions for further reading. Risk and Financial Management: Mathematical and Computational Methods is ideally suited to both students of mathematical finance with little background in economics and finance, and students of financial risk management, as well as finance practitioners requiring a clearer understanding of the mathematical and computational methods they use every day. It combines the required level of rigor, to support the theoretical developments, with a practical flavour through many examples and applications.

Stochastic Analysis Filtering And Stochastic Optimization

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Author : George Yin
language : en
Publisher: Springer Nature
Release Date : 2022-04-22

Stochastic Analysis Filtering And Stochastic Optimization written by George Yin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-22 with Mathematics categories.

This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

Foundations Of Reinforcement Learning With Applications In Finance

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Author : Ashwin Rao
language : en
Publisher: CRC Press
Release Date : 2022-12-16

Foundations Of Reinforcement Learning With Applications In Finance written by Ashwin Rao and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-16 with Business & Economics categories.

Foundations of Reinforcement Learning with Applications in Finance aims to demystify Reinforcement Learning, and to make it a practically useful tool for those studying and working in applied areas — especially finance. Reinforcement Learning is emerging as a powerful technique for solving a variety of complex problems across industries that involve Sequential Optimal Decisioning under Uncertainty. Its penetration in high-profile problems like self-driving cars, robotics, and strategy games points to a future where Reinforcement Learning algorithms will have decisioning abilities far superior to humans. But when it comes getting educated in this area, there seems to be a reluctance to jump right in, because Reinforcement Learning appears to have acquired a reputation for being mysterious and technically challenging. This book strives to impart a lucid and insightful understanding of the topic by emphasizing the foundational mathematics and implementing models and algorithms in well-designed Python code, along with robust coverage of several financial trading problems that can be solved with Reinforcement Learning. This book has been created after years of iterative experimentation on the pedagogy of these topics while being taught to university students as well as industry practitioners. Features Focus on the foundational theory underpinning Reinforcement Learning and software design of the corresponding models and algorithms Suitable as a primary text for courses in Reinforcement Learning, but also as supplementary reading for applied/financial mathematics, programming, and other related courses Suitable for a professional audience of quantitative analysts or data scientists Blends theory/mathematics, programming/algorithms and real-world financial nuances while always striving to maintain simplicity and to build intuitive understanding To access the code base for this book, please go to: https://github.com/TikhonJelvis/RL-book