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Language: en
Pages: 54
Pages: 54
Type: BOOK - Published: 2007 - Publisher:
Portfolio optimization problems with transaction costs have been widely studied by both financial economists and financial engineers through various approaches.
Language: en
Pages:
Pages:
Type: BOOK - Published: 2013 - Publisher:
We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems wit
Language: en
Pages: 626
Pages: 626
Type: BOOK - Published: 2013-11-11 - Publisher: Springer Science & Business Media
Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision
Language: en
Pages: 272
Pages: 272
Type: BOOK - Published: 2001 - Publisher: American Mathematical Soc.
Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built.
Language: en
Pages: 343
Pages: 343
Type: BOOK - Published: 2005-07-18 - Publisher: World Scientific Publishing Company
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-