Custom cover image
Custom cover image

Variational Inequalities in Management Science and Finance : Modelling, Analysis, Numerics and Applications / by Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: EURO Advanced Tutorials on Operational ResearchPublisher: Cham : Springer Nature Switzerland, 2024Publisher: Cham : Imprint: Springer, 2024Description: 1 Online-Ressource (XIII, 179 p. 6 illus., 4 illus. in color.)ISBN:
  • 9783031741197
Subject(s): Additional physical formats: 9783031741180 | 9783031741203 | 9783031741210 | Erscheint auch als: 9783031741180 Druck-Ausgabe | Erscheint auch als: 9783031741203 Druck-Ausgabe | Erscheint auch als: 9783031741210 Druck-AusgabeDDC classification:
  • 658.403 23
DOI: DOI: 10.1007/978-3-031-74119-7Online resources: Summary: Modelling -- Analysis -- Numerics -- Applications.Summary: This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities (VIs), with a focus on applications in management science and finance. It aims to bridge the gap between the abstract mathematical treatments of the subject and simplistic, non-rigorous approaches often used in financial economics or managerial literature. Building on fundamental examples of concrete applications drawn from management science and finance, the book gradually develops the connection between optimal stopping problems and variational inequalities. It provides precise results on their derivation, solution properties, and their use to derive optimal policies in general frameworks of stochastic factors driving the state processes. Emphasis is also placed on the numerical treatment and approximation of VIs. All technical results are illustrated in detail for the characteristic problems presented at the beginning as motivating examples. It also offers a brief introduction to more advanced topics, including VIs for multi-scale problems and VIs related to optimal stopping problems under model uncertainty. This book will be of interest to graduate students and researchers who wish for a quick, yet thorough introduction to the field. Practitioners who want to familiarise themselves with applications of VIs in management science and finance will also find this book useful.PPN: PPN: 1913280772Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-BUM | ZDB-2-SXBM
No physical items for this record
KIT – The Research University in the Helmholtz Association                         Home | Impressum | Datenschutz | Barrierefreiheit | KIT