The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of ...
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The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
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Add this copy of Optimal Portfolios: Stochastic Models for Optimal to cart. $62.02, fair condition, Sold by Phatpocket Limited rated 4.0 out of 5 stars, ships from Waltham Abbey, ESSEX, UNITED KINGDOM, published 1997 by World Scientific Publishing Company.
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Acceptable. Used-Acceptable. Ships from UK in 48 hours or less (usually same day). Your purchase helps support Sri Lankan Children's Charity 'The Rainbow Centre'. Ex-library with wear and barcode page may have been removed. 100% money back guarantee. We are a world class secondhand bookstore based in Hertfordshire, United Kingdom and specialize in high quality textbooks across an enormous variety of subjects. We aim to provide a vast range of textbooks, rare and collectible books at a great price. Our donations to The Rainbow Centre have helped provide an education and a safe haven to hundreds of children who live in appalling conditions. We provide a 100% money back guarantee and are dedicated to providing our customers with the highest standards of service in the bookselling industry.
Add this copy of Optimal Portfolios: Stochastic Models for Optimal to cart. $74.35, good condition, Sold by Anybook rated 4.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 1999 by World Scientific.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Clean from markings. In good all round condition. Dust jacket in good condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 750grams, ISBN: 9789810232153.
Add this copy of Optimal Portfolios: Stochastic Models for Optimal to cart. $157.48, new condition, Sold by GridFreed rated 5.0 out of 5 stars, ships from North Las Vegas, NV, UNITED STATES, published 1997 by Wspc.
