Applications of Stochastic Optimal Control to Economics and Finance
In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individua...
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| Formato: | Online |
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| Idioma: | inglês |
| Publicado em: |
MDPI - Multidisciplinary Digital Publishing Institute
2021
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| Acesso em linha: | ONIX_20210501_9783039360581_404 |
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| collection | Directory of Open Access Books |
| description | In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue “Applications of Stochastic Optimal Control to Economics and Finance”, which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book’s chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used. |
| format | Online |
| id | doab-20.500.12854ir-68658 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-686582024-03-29T19:31:05Z Applications of Stochastic Optimal Control to Economics and Finance Federico, Salvatore Ferrari, Giorgio Regis, Luca debt crisis government debt management optimal government debt ceiling government debt ratio stochastic control decision analysis risk management Bayesian learning Markowitz problem optimal portfolio portfolio selection Markov additive processes Markov regime switching market Markovian jump securities asymptotic arbitrage complete market multiple optimal stopping general diffusion real option analysis energy imbalance market optimal reinsurance excess-of-loss reinsurance Hamilton-Jacobi-Bellman equation stochastic factor model American options least square method derivatives pricing binomial tree stochastic interest rates quadrinomial tree insurance unemployment optimal stopping geometric Brownian motion martingale free boundary problem American call option utility thema EDItEUR::K Economics, Finance, Business and Management In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue “Applications of Stochastic Optimal Control to Economics and Finance”, which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book’s chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used. 2021-05-01T15:26:13Z 2021-05-01T15:26:13Z 2020 book ONIX_20210501_9783039360581_404 9783039360581 9783039360598 https://directory.doabooks.org/handle/20.500.12854/68658 eng application/octet-stream Attribution 4.0 International https://mdpi.com/books/pdfview/book/2421 https://mdpi.com/books/pdfview/book/2421 MDPI - Multidisciplinary Digital Publishing Institute 10.3390/books978-3-03936-059-8 10.3390/books978-3-03936-059-8 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783039360581 9783039360598 210 Basel, Switzerland open access |
| spellingShingle | debt crisis government debt management optimal government debt ceiling government debt ratio stochastic control decision analysis risk management Bayesian learning Markowitz problem optimal portfolio portfolio selection Markov additive processes Markov regime switching market Markovian jump securities asymptotic arbitrage complete market multiple optimal stopping general diffusion real option analysis energy imbalance market optimal reinsurance excess-of-loss reinsurance Hamilton-Jacobi-Bellman equation stochastic factor model American options least square method derivatives pricing binomial tree stochastic interest rates quadrinomial tree insurance unemployment optimal stopping geometric Brownian motion martingale free boundary problem American call option utility thema EDItEUR::K Economics, Finance, Business and Management Applications of Stochastic Optimal Control to Economics and Finance |
| title | Applications of Stochastic Optimal Control to Economics and Finance |
| title_full | Applications of Stochastic Optimal Control to Economics and Finance |
| title_fullStr | Applications of Stochastic Optimal Control to Economics and Finance |
| title_full_unstemmed | Applications of Stochastic Optimal Control to Economics and Finance |
| title_short | Applications of Stochastic Optimal Control to Economics and Finance |
| title_sort | applications of stochastic optimal control to economics and finance |
| topic | debt crisis government debt management optimal government debt ceiling government debt ratio stochastic control decision analysis risk management Bayesian learning Markowitz problem optimal portfolio portfolio selection Markov additive processes Markov regime switching market Markovian jump securities asymptotic arbitrage complete market multiple optimal stopping general diffusion real option analysis energy imbalance market optimal reinsurance excess-of-loss reinsurance Hamilton-Jacobi-Bellman equation stochastic factor model American options least square method derivatives pricing binomial tree stochastic interest rates quadrinomial tree insurance unemployment optimal stopping geometric Brownian motion martingale free boundary problem American call option utility thema EDItEUR::K Economics, Finance, Business and Management |
| topic_facet | debt crisis government debt management optimal government debt ceiling government debt ratio stochastic control decision analysis risk management Bayesian learning Markowitz problem optimal portfolio portfolio selection Markov additive processes Markov regime switching market Markovian jump securities asymptotic arbitrage complete market multiple optimal stopping general diffusion real option analysis energy imbalance market optimal reinsurance excess-of-loss reinsurance Hamilton-Jacobi-Bellman equation stochastic factor model American options least square method derivatives pricing binomial tree stochastic interest rates quadrinomial tree insurance unemployment optimal stopping geometric Brownian motion martingale free boundary problem American call option utility thema EDItEUR::K Economics, Finance, Business and Management |
| url | ONIX_20210501_9783039360581_404 |