04095nam 2200829z- 450 991055776180332120231214133135.0(CKB)5400000000045744(oapen)https://directory.doabooks.org/handle/20.500.12854/68658(EXLCZ)99540000000004574420202105d2020 |y 0engurmn|---annantxtrdacontentcrdamediacrrdacarrierApplications of Stochastic Optimal Control to Economics and FinanceBasel, SwitzerlandMDPI - Multidisciplinary Digital Publishing Institute20201 electronic resource (210 p.)3-03936-058-2 3-03936-059-0 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.Economics, finance, business & managementbicsscdebt crisisgovernment debt managementoptimal government debt ceilinggovernment debt ratiostochastic controldecision analysisrisk managementBayesian learningMarkowitz problemoptimal portfolioportfolio selectionMarkov additive processesMarkov regime switching marketMarkovian jump securitiesasymptotic arbitragecomplete marketmultiple optimal stoppinggeneral diffusionreal option analysisenergy imbalance marketoptimal reinsuranceexcess-of-loss reinsuranceHamilton-Jacobi-Bellman equationstochastic factor modelAmerican optionsleast square methodderivatives pricingbinomial treestochastic interest ratesquadrinomial treeinsuranceunemploymentoptimal stoppinggeometric Brownian motionmartingalefree boundary problemAmerican call optionutilityEconomics, finance, business & managementFederico Salvatoreedt774537Ferrari GiorgioedtRegis LucaedtFederico SalvatoreothFerrari GiorgioothRegis LucaothBOOK9910557761803321Applications of Stochastic Optimal Control to Economics and Finance3036317UNINA