Author: Jerome L. SteinPublisher:
ISBN:
Category :
Languages : en
Pages : 168
Book Description
Special Issue on Stochastic Models in Economics and Finance
Author: Jerome L. SteinApplications of Stochastic Optimal Control to Economics and Finance
Author: Salvatore FedericoPublisher:
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.
Special Issue on Stochastic Modelling, Control, and Robust Optimization at the Crossroads of Engineering, Environmental Economics, and Finance
Author: Alain HaurieStochastic Optimization Models in Finance
Author: William T. ZiembaPublisher: World Scientific
ISBN: 981256800X
Category : Business & Economics
Languages : en
Pages : 756
Book Description
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.
Quantitative Methods for Economics and Finance
Author: J.E. Trinidad-SegoviaPublisher: MDPI
ISBN: 3036501967
Category : Business & Economics
Languages : en
Pages : 418
Book Description
This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.
Optimization in Economics and Finance
Author: Bruce D. CravenPublisher: Springer Science & Business Media
ISBN: 0387242805
Category : Business & Economics
Languages : en
Pages : 174
Book Description
Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.
Stochastic Financial Economics
Author: International Conference Stochastic Economics and FinancePublisher:
ISBN:
Category :
Languages : en
Pages : 71
Book Description
Stochastic Optimal Control and the U.S. Financial Debt Crisis
Author: Jerome L. SteinPublisher: 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.
Stochastic Processes
Author: Alexander ZeifmanPublisher: MDPI
ISBN: 3039219626
Category : Mathematics
Languages : en
Pages : 216
Book Description
The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance.
Author: