[經濟][商業][完美的財務分析數學方法] optimal control models in finance a new computational approach外语英文电子书

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1、OPTIMALCONTROLMODELSINFINANCEAppliedOptimizationVolume95SeriesEditors:PanosM.PardalosUniversityofFlorida,U.S.A.DonaldW.HearnUniversityofFlorida,U.S.A.OPTIMALCONTROLMODELSINFINANCEANewComputationalApproachbyPINGCHENVictoriaUniversity,Melbourne,AustraliaSARDARM.N.ISLAMVictoriaUniversity,

2、Melbourne,AustraliaSpringereBookISBN:0-387-23570-1PrintISBN:0-387-23569-8©2005SpringerScience+BusinessMedia,Inc.Print©2005SpringerScience+BusinessMedia,Inc.BostonAllrightsreservedNopartofthiseBookmaybereproducedortransmittedinanyformorbyanymeans,electronic,mechanical,recording,orotherw

3、ise,withoutwrittenconsentfromthePublisherCreatedintheUnitedStatesofAmericaVisitSpringer'seBookstoreat:http://ebooks.springerlink.comandtheSpringerGlobalWebsiteOnlineat:http://www.springeronline.comContentsListofFiguresixListofTablesxiPrefacexiiiIntroductionxv1.OPTIMALCONTROLMODELS11AnO

4、ptimalControlModelofFinance22(Karush)Kuhn-TuckerCondition43PontryaginTheorem64Bang-BangControl75SingularArc76IndifferencePrinciple87DifferentApproachestoOptimalControlProblems108Conclusion202.THESTVAPPROACHTOFINANCIALOPTIMALCONTROLMODELS211Introduction212Piecewise-linearTransformation2

5、13Non-linearTimeScaleTransformation234AComputerSoftwarePackageUsedinthisStudy255AnOptimalControlProblemWhentheControlcanonlyTaketheValue0or1266ApproachestoBang-BangOptimalControlwithaCostofChangingControl277AnInvestmentPlanningModelandResults30viOPTIMALCONTROLMODELSINFINANCE8FinancialI

6、mplicationsandConclusion363.AFINANCIALOSCILLATORMODEL391Introduction392ControllingaDampedOscillatorinaFinancialModel403OscillatorTransformationoftheFinancialModel414ComputationalAlgorithm:TheSteps445FinancialControlPattern476ComputingtheFinancialModel:ResultsandAnalysis477FinancialInve

7、stmentImplicationsandConclusion894.ANOPTIMALCORPORATEFINANCINGMODEL911Introduction912ProblemDescription913AnalyticalSolution944PenaltyTerms985TransformationsfortheComputerSoftwarePackagefortheFinanceModel996ComputationalAlgorithmsfortheNon-linearOptimalControlProblem1017ComputingResu