Overview
Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. 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.
Full Product Details
Author: L. C. G. Rogers
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: 2013 ed.
Dimensions:
Width: 15.50cm
, Height: 1.00cm
, Length: 23.50cm
Weight: 2.642kg
ISBN: 9783642352010
ISBN 10: 3642352014
Pages: 156
Publication Date: 09 January 2013
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
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)
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)
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)
From the reviews: 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)
