Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics): 1 (SIAM Series on Financial Mathematics, Series Number 1) - Softcover

René Carmona

Softcover

ISBN 10: 1611974232 ISBN 13: 9781611974232

Publisher: Society for Industrial and Applied Mathematics, 2016

Synopsis

An introduction to the stochastic analysis tools involved in the probabilistic approach to optimization problems, appropriate for graduates and young researchers.

About this title

About the Author

René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University, New Jersey, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years. Dr Carmona's publications include over 100 articles and seven books in probability, statistics, and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of SIAM in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and a founding co-editor of the Electronic Journal of Probability, Electronic Communications in Probability, and the SIAM Journal on Financial Mathematics.

Edition details

• Publisher: Society for Industrial and Applied Mathematics
• Publication date: 2016
• Language: English
• ISBN 10: 1611974232
• ISBN 13: 9781611974232
• Binding: Paperback
• Number of pages: 366