Variational Inequalities in Management Science and Finance

Language: English

Published by Springer, Springer Dez 2024, 2024

3031741188 / 9783031741180

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This item is printed on demand - Print on Demand Titel. Neuware -This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities (VIs), with a focus on applications in management science and finance. It aims to bridge the gap between the abstract mathematical treatments of the subject and simplistic, non-rigorous approaches often used in financial economics or managerial literature.Building on fundamental examples of concrete applications drawn from management science and finance, the book gradually develops the connection between optimal stopping problems and variational inequalities. It provides precise results on their derivation, solution properties, and their use to derive optimal policies in general frameworks of stochastic factors driving the state processes. Emphasis is also placed on the numerical treatment and approximation of VIs. All technical results are illustrated in detail for the characteristic problems presented at the beginning as motivating examples. It also offers a brief introduction to more advanced topics, including VIs for multi-scale problems and VIs related to optimal stopping problems under model uncertainty.This book will be of interest to graduate students and researchers who wish for a quick, yet thorough introduction to the field. Practitioners who want to familiarise themselves with applications of VIs in management science and finance will also find this book useful.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 196 pp. Englisch.…

Seller Inventory # 9783031741180

Title
Variational Inequalities in Management Science and Finance
Author
Andrianos E. Tsekrekos
Publisher
Springer, Springer Dez 2024
Publication year
2024
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3031741188
ISBN 13
9783031741180
Item weight
463 grams
Dimensions
241x160x17 mm

buchversandmimpf2000

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