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Ying Hu, Gechun Liang, Shanjian Tang - Investment, Consumption and Pricing in Constrained and Unbounded Markets, Häftad

Häftad, Engelska, 2026

Del i serien Financial Mathematics (FM)

Investment, Consumption and Pricing in Constrained and Unbounded Markets

Av Ying Hu, Gechun Liang, Shanjian Tang

929 kr

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Beskrivning
The monograph addresses three fundamental issues in a financial market: investment, consumption, and pricing using the cutting-edge quadratic backward stochastic differential equation (BSDE). The book provides an unprecedented systematic application of the theory of quadratic BSDEs to general utility maximization problems in constrained and unbounded financial markets; the first treatment of general Epstein-Zin utility maximization problems with portfolio constraints in a non-Markovian framework, marking significant progress in the dynamic investment-consumption problems; and an excellent entry point for research students and early-career researchers in mathematical finance by offering a clear pathway into the field with practical examples.
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Ying Hu is a Professor at Institut de Recherche Mathématique de Rennes, Université de Rennes. He held a postdoctoral position at Aix Marseille Université and as a lecturer at Lyon 1 Université, Université Clermont Auvergne, and École Polytechnique Fédérale de Lausanne before joining Université de Rennes in 1997. Gechun Liang is a Reader in the Department of Statistics at the University of Warwick. He was a postdoctoral fellow at the Oxford-Man Institute of Quantitative Finance and a senior fellow and Marie Curie fellow at the Freiburg Institute for Advanced Studies at the University of Freiburg. Shanjian Tang is a Professor at Fudan University. He was a visiting professor at Aix Marseille Université, a Croucher scholar, an Alexander von Humboldt research fellow at Konstanz Universitaet, and a World Class University Invited Professor at Ajou University. He was elected a SIAM fellow in October 2021.

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