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Stochastic Modeling in Economics and Finance (Applied Optimization)

✍ Scribed by Jitka Dupacova, J. Hurt, J. Stepan

Publisher
Springer
Year
2002
Tongue
English
Leaves
394
Series
Applied Optimization
Edition
1
Category
Library
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✦ Synopsis

A very useful textbook for both undergraduate and advanced courses on stochastic models in finance. The first part is a comprehensive but readable and well understandable introduction to Financial Mathematics. The second part on discrete time stochastic models is based on some background knowledge of Stochastic Programming. The theory is well balanced with many practical examples from various areas. The chapter is concluded by a review of numerical techniques of solving stochastic programs. The third part describes the continuous time financial models based on the theory of Stochastic Processes.

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