Optimal decisions in finance: passport options and the bonus problem
<p>The object of this thesis is the study of some new financial models. The common feature is that they all involve optimal decisions. Some of the decisions take the form of a control and we enter the theory of stochastic optimal control and of Hamilton-Jacobi-Bellman (HJB) equations. Other de...
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| Format: | Thesis |
| Language: | English |
| Published: |
2000
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