Dynamic Stochastic Optimization with Applications in Finance: Theory of Stochastic Optimization and Numerical Methods - Softcover

Moch, Matthias

Softcover

ISBN 10: 3639294408 ISBN 13: 9783639294408

Publisher: VDM Verlag Dr. Müller, 2010

Synopsis

A lot of problems in real life require optimal decisions to be made and therefore optimization is a fundamental issue. As a lot of the underlying models, especially in finance, involve uncertainty, there is a clear need for a theory of how to handle such systems and make optimal decisions in a stochastic environment. This book will give an overview of the problem under consideration and interpret the concept of optimality of stochastic systems to find methods and algorithms to derive optimal solutions.

About this title

About the Author

Since 2008, Matthias Moch is Quantitative Analyst in the Hedging and Derivatives Strategies group of risklab GmbH. Before starting his profession, Matthias studied at the University of Konstanz and the ETH Zurich, where he focused on Numerical Mathematics. He holds a Master's Degree in Mathematical Finance from the University of Konstanz.

Edition details

• Publisher: VDM Verlag Dr. Müller
• Publication date: 2010
• Language: English
• ISBN 10: 3639294408
• ISBN 13: 9783639294408
• Binding: Paperback
• Number of pages: 84