LEADER 04095nam 2200829z- 450 001 9910557761803321 005 20231214133135.0 035 $a(CKB)5400000000045744 035 $a(oapen)https://directory.doabooks.org/handle/20.500.12854/68658 035 $a(EXLCZ)995400000000045744 100 $a20202105d2020 |y 0 101 0 $aeng 135 $aurmn|---annan 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aApplications of Stochastic Optimal Control to Economics and Finance 210 $aBasel, Switzerland$cMDPI - Multidisciplinary Digital Publishing Institute$d2020 215 $a1 electronic resource (210 p.) 311 $a3-03936-058-2 311 $a3-03936-059-0 330 $aIn 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. 606 $aEconomics, finance, business & management$2bicssc 610 $adebt crisis 610 $agovernment debt management 610 $aoptimal government debt ceiling 610 $agovernment debt ratio 610 $astochastic control 610 $adecision analysis 610 $arisk management 610 $aBayesian learning 610 $aMarkowitz problem 610 $aoptimal portfolio 610 $aportfolio selection 610 $aMarkov additive processes 610 $aMarkov regime switching market 610 $aMarkovian jump securities 610 $aasymptotic arbitrage 610 $acomplete market 610 $amultiple optimal stopping 610 $ageneral diffusion 610 $areal option analysis 610 $aenergy imbalance market 610 $aoptimal reinsurance 610 $aexcess-of-loss reinsurance 610 $aHamilton-Jacobi-Bellman equation 610 $astochastic factor model 610 $aAmerican options 610 $aleast square method 610 $aderivatives pricing 610 $abinomial tree 610 $astochastic interest rates 610 $aquadrinomial tree 610 $ainsurance 610 $aunemployment 610 $aoptimal stopping 610 $ageometric Brownian motion 610 $amartingale 610 $afree boundary problem 610 $aAmerican call option 610 $autility 615 7$aEconomics, finance, business & management 700 $aFederico$b Salvatore$4edt$0774537 702 $aFerrari$b Giorgio$4edt 702 $aRegis$b Luca$4edt 702 $aFederico$b Salvatore$4oth 702 $aFerrari$b Giorgio$4oth 702 $aRegis$b Luca$4oth 906 $aBOOK 912 $a9910557761803321 996 $aApplications of Stochastic Optimal Control to Economics and Finance$93036317 997 $aUNINA