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Optimal Control Models In Finance

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Optimal Control Models In Finance

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Author : Ping Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-06-18

Optimal Control Models In Finance written by Ping Chen 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 2006-06-18 with Mathematics categories.

This book reports initial efforts in providing some useful extensions in - nancial modeling; further work is necessary to complete the research agenda. The demonstrated extensions in this book in the computation and modeling of optimal control in finance have shown the need and potential for further areas of study in financial modeling. Potentials are in both the mathematical structure and computational aspects of dynamic optimization. There are needs for more organized and coordinated computational approaches. These ext- sions will make dynamic financial optimization models relatively more stable for applications to academic and practical exercises in the areas of financial optimization, forecasting, planning and optimal social choice. This book will be useful to graduate students and academics in finance, mathematical economics, operations research and computer science. Prof- sional practitioners in the above areas will find the book interesting and inf- mative. The authors thank Professor B.D. Craven for providing extensive guidance and assistance in undertaking this research. This work owes significantly to him, which will be evident throughout the whole book. The differential eq- tion solver “nqq” used in this book was first developed by Professor Craven. Editorial assistance provided by Matthew Clarke, Margarita Kumnick and Tom Lun is also highly appreciated. Ping Chen also wants to thank her parents for their constant support and love during the past four years.

Optimal Control Models In Finance

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Author : Ping Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-11-19

Optimal Control Theory For Financing Models Of Regulated Firms

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Author : Weerasak Suk-Anarak
language : en
Publisher:
Release Date : 1980

Optimal Control Theory For Financing Models Of Regulated Firms written by Weerasak Suk-Anarak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Public utilities categories.

Stochastic Optimal Control And The U S Financial Debt Crisis

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Author : Jerome L. Stein
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-03-30

Stochastic Optimal Control And The U S Financial Debt Crisis written by Jerome L. Stein 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 2012-03-30 with Business & Economics categories.

Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.

Optimization In Economics And Finance

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Author : Bruce D. Craven
language : en
Publisher: Springer Science & Business Media
Release Date : 2005

Optimization In Economics And Finance written by Bruce D. Craven 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 2005 with Business & Economics categories.

Extends the optimization techniques, in a form that may be adopted for modeling social choice problems. The models in this book provide possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. A computer program SCOM is presented here for computing social choice models by optimal control.

Mathematics Of Finance

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Author : George Yin
language : en
Publisher: American Mathematical Soc.
Release Date : 2004

Mathematics Of Finance written by George Yin and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.

Contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird. This book includes such topics as modeling, estimation, optimization, control, and risk assessment and management. It is suitable for students interested in mathematical finance.

A Dynamic Theory Of The Firm Production Finance And Investment

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Author : Paul van Loon
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

A Dynamic Theory Of The Firm Production Finance And Investment written by Paul van Loon 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 2012-12-06 with Business & Economics categories.

This volume is the final result of the research project ''Micro growth model", that was sponsored by the Central Research Pool of Tilburg University, the Netherlands. Apart from the University Council for this important financial support, I owe Prof. Dr. Fiet Verheyen very much for the way in which he introduced me into scientific circles and for the way in which he supervised and stimulated my work. Dr. Jan de Jong and Peter Janssen C. E. , Technical University of Eindhoven, piloted me safely through the mathe matics of optimal control theory and removed some technical barriers. Their help was indispensable for the success of this project. I would also like to mention the kind support of Prof. Dr. Jack Kleijnen, who gave me many valuable hints on how to present the results of this project. In this way I was able to contact with several resear chers inside and outside the Netherlands. Most grateful I am to Prof. Dr. Charles Tapiero, Jerusalem University, who commented on important parts of this book in a constructive way and who suggested many subjects for further research. Also Mr. Geert Jan vsn Schijndel, Tilburg University, should be mentioned here, because he closely read the work and I appreciated his remarks and corrections very much. Many collea gues have contributed to the results of this research project in a direct or indirect way. Especially I should like to mention my contacts with Prof. Dr.

Stochastic Optimization Models In Finance

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Author : W. T. Ziemba
language : en
Publisher: Academic Press
Release Date : 2014-05-12

Stochastic Optimization Models In Finance written by W. T. Ziemba and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-12 with Business & Economics categories.

Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.

Commodity Procurement With Operational And Financial Instruments

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Author : Jan Arnold
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-05-10

Commodity Procurement With Operational And Financial Instruments written by Jan Arnold 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 2010-05-10 with Business & Economics categories.

Jan Arnold integrates financial and operational aspects into a holistic approach to commodity procurement. He shows how to combine operational strategies considering just-in-time procurement, inventory holding and backlogging with financial strategies considering derivative instruments into an optimal procurement plan under volatile procurement prices.

Mathematical And Statistical Methods For Actuarial Sciences And Finance

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Author : Marco Corazza
language : en
Publisher: Springer Nature
Release Date : 2022-04-11

Mathematical And Statistical Methods For Actuarial Sciences And Finance written by Marco Corazza and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-11 with Mathematics categories.

The cooperation and contamination among mathematicians, statisticians and econometricians working in actuarial sciences and finance are improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas in the form of four- to six-page papers presented at the International Conference MAF2022 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the COVID-19 pandemic, the conference, to which this book is related, was organized in a hybrid form by the Department of Economics and Statistics of the University of Salerno, with the partnership of the Department of Economics of Cà Foscari University of Venice, and was held from 20 to 22 April 2022 in Salerno (Italy) MAF2022 is the tenth edition of an international biennial series of scientific meetings, started in 2004 on the initiative of the Department of Economics and Statistics of the University of Salerno. It has established itself internationally with gradual and continuous growth and scientific enrichment. The effectiveness of this idea has been proven by the wide participation in all the editions, which have been held in Salerno (2004, 2006, 2010, 2014, 2022), Venice (2008, 2012 and 2020 online), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioural finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.

Optimal Control Models In Finance

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