Authors:
- Presents the main methods for solving stochastic optimal control problems arising in finance
- Through a large number of worked problems, illustrates how to use a combination of analytic and numerical techniques to actually find a solution even when none is available in closed form
- Critiques the usefulness of theory in the light of stylized facts of asset return
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Quantitative Finance (BRIEFFINANCE)
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Table of contents (4 chapters)
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Front Matter
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Back Matter
About this book
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.
Reviews
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)
Authors and Affiliations
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Dept. Pure Mathematics &, University of Cambridge Centre for Mathematical Sciences, Cambridge, United Kingdom
L. C. G. Rogers
Bibliographic Information
Book Title: Optimal Investment
Authors: L. C. G. Rogers
Series Title: SpringerBriefs in Quantitative Finance
DOI: https://doi.org/10.1007/978-3-642-35202-7
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2013
Softcover ISBN: 978-3-642-35201-0Published: 09 January 2013
eBook ISBN: 978-3-642-35202-7Published: 10 January 2013
Series ISSN: 2192-7006
Series E-ISSN: 2192-7014
Edition Number: 1
Number of Pages: X, 156
Number of Illustrations: 41 b/w illustrations, 3 illustrations in colour
Topics: Quantitative Finance, Finance, general, Numerical Analysis, Calculus of Variations and Optimal Control; Optimization, Probability Theory and Stochastic Processes