Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the...

Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the...

This book describes the latest advancements in molecular and cellular engineering approaches in addition to nanotechnology for cancer therapeutics and imaging. It also provides an excellent background and state-of-the-art developments in the fields of dru

This book presents studies of stock market crashes, big and small, that occur from bubbles bursting or other reasons. By a bubble, we mean that prices are rising just because they are rising and that prices exceed fundamental values. A bubble can be a lar