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Stochastic Modeling In Economics And Finance

Stochastic Modeling in Economics and Finance PDF
Author: Jitka Dupacova
Publisher: Springer Science & Business Media
ISBN: 0306481677
Size: 26.23 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 386
View: 1807

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Stochastic Modeling In Economics And Finance

by Jitka Dupacova, Stochastic Modeling In Economics And Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Modeling In Economics And Finance books, In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.




Mathematical Modeling In Economics And Finance Probability Stochastic Processes And Differential Equations

Mathematical Modeling in Economics and Finance  Probability  Stochastic Processes  and Differential Equations PDF
Author: Steven R. Dunbar
Publisher: American Mathematical Soc.
ISBN: 1470448394
Size: 46.74 MB
Format: PDF, ePub
Category : Economics
Languages : en
Pages : 232
View: 7203

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Mathematical Modeling In Economics And Finance Probability Stochastic Processes And Differential Equations

by Steven R. Dunbar, Mathematical Modeling In Economics And Finance Probability Stochastic Processes And Differential Equations Books available in PDF, EPUB, Mobi Format. Download Mathematical Modeling In Economics And Finance Probability Stochastic Processes And Differential Equations books, Mathematical Modeling in Economics and Finance is designed as a textbook for an upper-division course on modeling in the economic sciences. The emphasis throughout is on the modeling process including post-modeling analysis and criticism. It is a textbook on modeling that happens to focus on financial instruments for the management of economic risk. The book combines a study of mathematical modeling with exposure to the tools of probability theory, difference and differential equations, numerical simulation, data analysis, and mathematical analysis. Students taking a course from Mathematical Modeling in Economics and Finance will come to understand some basic stochastic processes and the solutions to stochastic differential equations. They will understand how to use those tools to model the management of financial risk. They will gain a deep appreciation for the modeling process and learn methods of testing and evaluation driven by data. The reader of this book will be successfully positioned for an entry-level position in the financial services industry or for beginning graduate study in finance, economics, or actuarial science. The exposition in Mathematical Modeling in Economics and Finance is crystal clear and very student-friendly. The many exercises are extremely well designed. Steven Dunbar is Professor Emeritus of Mathematics at the University of Nebraska and he has won both university-wide and MAA prizes for extraordinary teaching. Dunbar served as Director of the MAA's American Mathematics Competitions from 2004 until 2015. His ability to communicate mathematics is on full display in this approachable, innovative text.




Stochastic Methods In Economics And Finance

Stochastic Methods in Economics and Finance PDF
Author: A.G. Malliaris
Publisher: North Holland
ISBN:
Size: 33.76 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 303
View: 382

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Stochastic Methods In Economics And Finance

by A.G. Malliaris, Stochastic Methods In Economics And Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Methods In Economics And Finance books, Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Itô's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control are discussed, and their use in economic theory and finance is illustrated with numerous applications. The applications covered include: futures, pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic macroeconomic model, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds, term structure of interest rates, the market risk adjustment in project valuation, demand for cash balances and an asset pricing model.




Optimization In Economics And Finance

Optimization in Economics and Finance PDF
Author: Bruce D. Craven
Publisher: Springer Science & Business Media
ISBN: 0387242805
Size: 13.30 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 161
View: 7458

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Optimization In Economics And Finance

by Bruce D. Craven, Optimization In Economics And Finance Books available in PDF, EPUB, Mobi Format. Download Optimization In Economics And Finance books, 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.




Cabell S Directory Of Publishing Opportunities In Economics And Finance

Cabell s Directory of Publishing Opportunities in Economics and Finance PDF
Author: David W. E. Cabell
Publisher:
ISBN: 9780911753233
Size: 49.92 MB
Format: PDF, ePub
Category : Reference
Languages : en
Pages : 1430
View: 3054

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Cabell S Directory Of Publishing Opportunities In Economics And Finance

by David W. E. Cabell, Cabell S Directory Of Publishing Opportunities In Economics And Finance Books available in PDF, EPUB, Mobi Format. Download Cabell S Directory Of Publishing Opportunities In Economics And Finance books, Contains information on more than 400 scholarly journals in Economics and Finance that assists professors and graduate students in publishing their manuscripts.




Applications Of Stochastic Optimal Control To Economics And Finance

Applications of Stochastic Optimal Control to Economics and Finance PDF
Author: Salvatore Federico
Publisher:
ISBN: 9783039360581
Size: 42.15 MB
Format: PDF, ePub
Category :
Languages : en
Pages : 206
View: 323

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Applications Of Stochastic Optimal Control To Economics And Finance

by Salvatore Federico, Applications Of Stochastic Optimal Control To Economics And Finance Books available in PDF, EPUB, Mobi Format. Download Applications Of Stochastic Optimal Control To Economics And Finance books, 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.




Mathematical Reviews

Mathematical Reviews PDF
Author:
Publisher:
ISBN:
Size: 43.73 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages :
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Mathematical Reviews

by , Mathematical Reviews Books available in PDF, EPUB, Mobi Format. Download Mathematical Reviews books,




Stochastic Calculus And Financial Applications

Stochastic Calculus and Financial Applications PDF
Author: J. Michael Steele
Publisher: Springer Science & Business Media
ISBN: 1468493051
Size: 19.57 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 302
View: 2647

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Stochastic Calculus And Financial Applications

by J. Michael Steele, Stochastic Calculus And Financial Applications Books available in PDF, EPUB, Mobi Format. Download Stochastic Calculus And Financial Applications books, Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH