EAN: 9780387235691

OPTIMAL CONTROL MODELS IN FINANCE - PING CHEN S...

This book reports initial efforts in providing some useful extensions in - nancial modeling 
further work is necessary to complete the research agenda. The demonstrated extensions in this
book in the computation and modeling of optimal control in finance have shown the need and
potential for further areas of study in financial modeling. Potentials are in both the
mathematical structure and computational aspects of dynamic optimization. There are needs for
more organized and coordinated computational approaches. These ext- sions will make dynamic
financial optimization models relatively more stable for applications to academic and practical
exercises in the areas of financial optimization  forecasting  planning and optimal social
choice. This book will be useful to graduate students and academics in finance  mathematical
economics  operations research and computer science. Prof- sional practitioners in the above
areas will find the book interesting and inf- mative. The authors thank Professor B.D. Craven
for providing extensive guidance and assistance in undertaking this research. This work owes
significantly to him  which will be evident throughout the whole book. The differential eq-
tion solver nqq used in this book was first developed by Professor Craven. Editorial assistance
provided by Matthew Clarke  Margarita Kumnick and Tom Lun is also highly appreciated. Ping Chen
also wants to thank her parents for their constant support and love during the past four years.

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