Verfügbarkeit: Stochastic optimal control in finance

Stochastic optimal control in finance:

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Bibliographische Detailangaben
1. Verfasser:	Soner, H. Mete (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Pisa Scuola Normale Superiore 2005
Schriftenreihe:	Cattedra Galileiana [5]
Online-Zugang:	Inhaltsverzeichnis
ISBN:	8876421394

Internformat

MARC


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Datensatz im Suchindex

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adam_text	83/ 3 833 SCUOLA NONNALE SUPERIORE CATTEDRA GALILEIANA H. METE SONER STOCHASTIC OPTIMAL CONTROL IN FINANCE CONTENTS PREFACE PAGE VII CHAPTER 1 - EXAMPLES AND DYNAMIC PROGRAMMING 1.1. - OPTIMAL CONTROL 1 1.2. - EXAMPLES 2 1.2.1. - DETERMINISTIC MINIMAL TIME PROBLEM 2 1.2.2. - MERTON S OPTIMAL INVESTMENT-CONSUMPTION PROBLEM 3 1.2.3. - FINITE TIME UTILITY MAXIMIZATION 4 1.2.4. - MERTON PROBLEM WITH TRANSACTION COSTS 5 1.2.5. - SUPER-REPLICATION WITH PORTFOLIO CONSTRAINTS . . . . 6 1.2.6. - BUYER S PRICE AND THE NO-ARBITRAGE INTERVAL . . . . 6 1.2.7. - SUPER-REPLICATION WITH GAMMA CONSTRAINTS . . . . 7 1.3. - DYNAMIC PROGRAMMING PRINCIPLE 7 1.3.1. - FORMAL PROOF OF DPP 8 1.3.2. - EXAMPLES FOR THE DPP 9 1.4. - DYNAMIC PROGRAMMING EQUATION 11 1.4.1. - FORMAL DERIVATION OF THE DPE 12 1.4.2. - INFINITE HORIZON 13 1.5. - EXAMPLES FOR THE DPE 14 VI H. METE SONER 1.5.1. * MERTON PROBLEM PAGE 14 1.5.2. - MINIMAL TIME PROBLEM 16 1.5.3. - TRANSACTION COSTS R . . . . 16 1.5.4. - SUPER-REPLICATION WITH PORTFOLIO CONSTRAINTS . . . . 18 1.5.5. - TARGET REACHABILITY PROBLEM 18 CHAPTER 2 - SUPER-REPLICATION UNDER PORTFOLIO CONSTRAINTS . . . . 21 2.1. - SOLUTION BY DUALITY 21 2.1.1. - BLACK-SCHOLES CASE 22 2.1.2. - GENERAL CASE 23 2.2. - DIRECT SOLUTION 24 2.2.1. - VISCOSITY SOLUTIONS 24 2.2.2. - SUPERSOLUTION 25 2.2.3. - SUBSOLUTION 27 2.2.4. - TERMINAL CONDITION OR FACE-LIFTING 28 CHAPTER 3 - SUPER-REPLICATION WITH GAMMA CONSTRAINTS 33 3.1. - PURE UPPER BOUND CASE 34 3.1.1. - SUPER SOLUTION . 34 3.1.2. - SUBSOLUTION 35 3.1.3. - TERMINAL CONDITION 36 3.2. - DOUBLE STOCHASTIC INTEGRALS 38 3.3. - GENERAL GAMMA CONSTRAINT 45 3.4. - EXAMPLES 46 3.4.1. - EUROPEAN CALL OPTION 46 3.4.2. - EUROPEAN PUT OPTION 47 3.4.3. - EUROPEAN DIGITAL OPTION 48 3.4.4. - UP AND OUT EUROPEAN CALL OPTION 49 3.5. - GUESS FOR THE DUAL FORMULATION 51 BIBLIOGRAPHY 53
adam_txt	83/ 3 833 SCUOLA NONNALE SUPERIORE CATTEDRA GALILEIANA H. METE SONER STOCHASTIC OPTIMAL CONTROL IN FINANCE CONTENTS PREFACE PAGE VII CHAPTER 1 - EXAMPLES AND DYNAMIC PROGRAMMING 1.1. - OPTIMAL CONTROL " 1 1.2. - EXAMPLES " 2 1.2.1. - DETERMINISTIC MINIMAL TIME PROBLEM " 2 1.2.2. - MERTON'S OPTIMAL INVESTMENT-CONSUMPTION PROBLEM " 3 1.2.3. - FINITE TIME UTILITY MAXIMIZATION " 4 1.2.4. - MERTON PROBLEM WITH TRANSACTION COSTS " 5 1.2.5. - SUPER-REPLICATION WITH PORTFOLIO CONSTRAINTS . . . . " 6 1.2.6. - BUYER'S PRICE AND THE NO-ARBITRAGE INTERVAL . . . . " 6 1.2.7. - SUPER-REPLICATION WITH GAMMA CONSTRAINTS . . . . " 7 1.3. - DYNAMIC PROGRAMMING PRINCIPLE " 7 1.3.1. - FORMAL PROOF OF DPP " 8 1.3.2. - EXAMPLES FOR THE DPP " 9 1.4. - DYNAMIC PROGRAMMING EQUATION " 11 1.4.1. - FORMAL DERIVATION OF THE DPE " 12 1.4.2. - INFINITE HORIZON " 13 1.5. - EXAMPLES FOR THE DPE " 14 VI H. METE SONER 1.5.1. * MERTON PROBLEM PAGE 14 1.5.2. - MINIMAL TIME PROBLEM " 16 1.5.3. - TRANSACTION COSTS R . . . . " 16 1.5.4. - SUPER-REPLICATION WITH PORTFOLIO CONSTRAINTS . . . . " 18 1.5.5. - TARGET REACHABILITY PROBLEM " 18 CHAPTER 2 - SUPER-REPLICATION UNDER PORTFOLIO CONSTRAINTS . . . . " 21 2.1. - SOLUTION BY DUALITY " 21 2.1.1. - BLACK-SCHOLES CASE " 22 2.1.2. - GENERAL CASE " 23 2.2. - DIRECT SOLUTION " 24 2.2.1. - VISCOSITY SOLUTIONS " 24 2.2.2. - SUPERSOLUTION " 25 2.2.3. - SUBSOLUTION " 27 2.2.4. - TERMINAL CONDITION OR "FACE-LIFTING" " 28 CHAPTER 3 - SUPER-REPLICATION WITH GAMMA CONSTRAINTS " 33 3.1. - PURE UPPER BOUND CASE " 34 3.1.1. - SUPER SOLUTION . " 34 3.1.2. - SUBSOLUTION " 35 3.1.3. - TERMINAL CONDITION " 36 3.2. - DOUBLE STOCHASTIC INTEGRALS " 38 3.3. - GENERAL GAMMA CONSTRAINT " 45 3.4. - EXAMPLES " 46 3.4.1. - EUROPEAN CALL OPTION " 46 3.4.2. - EUROPEAN PUT OPTION " 47 3.4.3. - EUROPEAN DIGITAL OPTION " 48 3.4.4. - UP AND OUT EUROPEAN CALL OPTION " 49 3.5. - GUESS FOR THE DUAL FORMULATION " 51 BIBLIOGRAPHY " 53
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spelling	Soner, H. Mete Verfasser aut Stochastic optimal control in finance H. Mete Soner Pisa Scuola Normale Superiore 2005 txt rdacontent n rdamedia nc rdacarrier Cattedra Galileiana [5] Cattedra Galileiana [5] (DE-604)BV021237796 5 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015440770&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Soner, H. Mete Stochastic optimal control in finance Cattedra Galileiana
title	Stochastic optimal control in finance
title_auth	Stochastic optimal control in finance
title_exact_search	Stochastic optimal control in finance
title_exact_search_txtP	Stochastic optimal control in finance
title_full	Stochastic optimal control in finance H. Mete Soner
title_fullStr	Stochastic optimal control in finance H. Mete Soner
title_full_unstemmed	Stochastic optimal control in finance H. Mete Soner
title_short	Stochastic optimal control in finance
title_sort	stochastic optimal control in finance
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