Optimal Control Models in Finance

A New Computational Approach

By: Ping Chen, Sardar M. N. Islam

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Hardcover | 19 November 2004

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Hardcover
220 Pages

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23.39 x 15.6 x 1.42

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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.

Industry Reviews

"This book by Ping Chen and Sardar M. N. Islam discusses the issue of the determination of optimal capital structure for corporations and the economy. They have developed an optimal control model for optimal financing involving a dynamic system with switching times. A new computational method and a new computer program named CSTVA are developed and optimal financing implications of the model results are analysed in this book. This book makes a significant contribution to the literature and will surely prove to be a boon to students, academics, and practitioners in finance, optimal control, and computer programming." -Professor David W. K. Yeung, Professor of Decision Sciences, Hong Kong Baptist University, Director of Center of Game Theory, and Managing Editor, International Game Theory Review

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Mathematics Optimisation Linear Programming Business & Management Business Aspects of E-Commerce Calculus & Mathematical Analysis Calculus of Variations Applied Mathematics

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Paperback

Published: 27th November 2014

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Optimal control models	p. 1
The STV approach to financial optimal control models	p. 21
A financial oscillator model	p. 39
An optimal corporate financing model	p. 91
Further computational experiments and results	p. 109
Conclusion	p. 141
CSTVA program list	p. 145
Some computation results	p. 161
Differential equation solver from the SCOM package	p. 181
SCOM package	p. 183
Format of problem optimization	p. 189
A sample test problem	p. 191
Table of Contents provided by Blackwell. All Rights Reserved.

Optimal Control Models in Finance

A New Computational Approach

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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