Stochastic Optimal Control, International Finance, and Debt Crises PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Stochastic Optimal Control, International Finance, and Debt Crises PDF full book. Access full book title Stochastic Optimal Control, International Finance, and Debt Crises by Jerome L. Stein. Download full books in PDF and EPUB format.
Author: Jerome L. Stein Publisher: Oxford University Press, USA ISBN: 0199280576 Category : Business & Economics Languages : en Pages : 305
Book Description
This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both thereturn on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions.* What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis?* What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis?* What is the interaction between an excess debt and a misaligned exchange rate?The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.
Author: Jerome L. Stein Publisher: Oxford University Press, USA ISBN: 0199280576 Category : Business & Economics Languages : en Pages : 305
Book Description
This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both thereturn on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions.* What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis?* What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis?* What is the interaction between an excess debt and a misaligned exchange rate?The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.
Author: Jerome L. Stein Publisher: Springer Science & Business Media ISBN: 1461430798 Category : Business & Economics Languages : en Pages : 167
Book Description
Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.
Author: Takashi Negishi Publisher: Springer Science & Business Media ISBN: 1461516773 Category : Business & Economics Languages : en Pages : 542
Book Description
Economic Theory, Dynamics, and Markets. The collection of essays in honor of Ryuzo Sato, written by his colleagues and students, covers the many fields of economic theory and policy to which he has contributed. The first section pays tribute to his contributions to mathematical economics and economic theory. Ryuzo Sato is known for his work in growth theory and technical progress, and the second section has a number of papers on macroeconomics and dynamics. The third section has a number of papers on financial markets and their functioning in Japan and the United States. The next section examines various aspects of the economics of firms and industry. Ryuzo Sato has been very involved in analyzing the economic and business relations between Japan and the United States, and the last section is devoted to comparative analysis of economic systems.
Author: Lawrence Z. Pelzer Publisher: ISBN: Category : Business & Economics Languages : en Pages : 186
Book Description
Macroeconomics is that part of economics that focuses on economic growth and economic fluctuations. In a world under the push and pull of globalisation, it becomes crucial for the developed countries, as well as the developing countries. It is necessary for some countries and companies to find the best regions to invest in while it is necessary for others to grow and compete for investment at the same time. This new book brings together an impressive array of research valuable for providing important insight into the international financial currents rippling around the world.
Author: Jessica James Publisher: John Wiley & Sons ISBN: 1118445775 Category : Business & Economics Languages : en Pages : 674
Book Description
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Author: Salvatore Federico Publisher: ISBN: 9783039360581 Category : Languages : en Pages : 206
Book Description
In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.
Author: M. Bruna Zolin Publisher: Routledge ISBN: 1317155505 Category : Political Science Languages : en Pages : 268
Book Description
The current economic crisis has called into question the long term viability of the decoupling between multinational firms and the banking system. It has also cast serious doubts on the US dollar-centred monetary system, and invited reassessment of the long term viability of US-China economic relations based on a US current account deficit absorbed by Chinese financial institutions. It is also an opportunity to analyse the rise in property prices, particularly in fast-growing economies. Long term food security is also an issue, bringing to the fore the multinational firms from emerging economies (such as China and India) and calling into question the response strategies of multinational firms from the West and Japan. This book engages these key issues within the broad theme of integration, to give an up-to-date consideration of the subject, opening debate on the future stimulating role that Asia could play vis-à-vis the West, particularly the European Union.
Author: Barry Goss Publisher: Routledge ISBN: 1134147325 Category : Business & Economics Languages : en Pages : 231
Book Description
Including contributions from Jerome Stein and Guay Lim, this book explores debt and liquidity in finance. In three parts it covers developing country debt and currency crises, risk, and risk management in futures markets and liquidity.
Author: Jerome L. Stein
Author: Jerome L. Stein
Author: Jerome L. Stein
Author: Takashi Negishi
Author: Lawrence Z. Pelzer
Author: Jessica James
Author: Salvatore Federico
Author: M. Bruna Zolin
Author: Barry Goss
Author: 
Author: