Stochastic Economics

Stochastic Economics Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Stochastic Economics book. This book definitely worth reading, it is an incredibly well-written.

Stochastic Economics

Gerhard Tintner,Jati K. Sengupta
Stochastic Economics Book PDF

Author : Gerhard Tintner,Jati K. Sengupta
Publisher : Elsevier
Page : 328 pages
File Size : 40,5 Mb
Release : 2014-05-10
Category : Mathematics
ISBN : 9781483274027

Get Book

Stochastic Economics by Gerhard Tintner,Jati K. Sengupta Pdf

Stochastic Economics: Stochastic Processes, Control, and Programming presents some aspects of economics from a stochastic or probabilistic point of view. The application of stochastic processes to the theory of economic development, stochastic control theory, and various aspects of stochastic programming is discussed. Comprised of four chapters, this book begins with a short survey of the stochastic view in economics, followed by a discussion on discrete and continuous stochastic models of economic development. The next chapter focuses on methods of stochastic control and their application to dynamic economic models, with emphasis on those aspects connected especially with the theory of quantitative economic policy. Some basic operational problems of applying stochastic control, particularly in economic systems and organizations for problems such as dynamic resource allocation, growth planning, and economic coordination are considered. The last chapter is devoted to stochastic programming, paying particular attention to the decision rule theory of operations research under the chance-constrained model and a method of incorporating reliability measures into a systems reliability model. This book will be of interest to economists, statisticians, applied mathematicians, operations researchers, and systems engineers.

Stochastic Dominance and Applications to Finance, Risk and Economics

Songsak Sriboonchita,Wing-Keung Wong,Sompong Dhompongsa,Hung T. Nguyen
Stochastic Dominance and Applications to Finance Risk and Economics Book PDF

Author : Songsak Sriboonchita,Wing-Keung Wong,Sompong Dhompongsa,Hung T. Nguyen
Publisher : CRC Press
Page : 455 pages
File Size : 51,7 Mb
Release : 2009-10-19
Category : Business & Economics
ISBN : 1420082671

Get Book

Stochastic Dominance and Applications to Finance, Risk and Economics by Songsak Sriboonchita,Wing-Keung Wong,Sompong Dhompongsa,Hung T. Nguyen Pdf

Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe

Stochastic Modeling in Economics and Finance

Jitka Dupacova,J. Hurt,J. Stepan
Stochastic Modeling in Economics and Finance Book PDF

Author : Jitka Dupacova,J. Hurt,J. Stepan
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 51,8 Mb
Release : 2006-04-18
Category : Mathematics
ISBN : 9780306481673

Get Book

Stochastic Modeling in Economics and Finance by Jitka Dupacova,J. Hurt,J. Stepan Pdf

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.

Stochastic Optimization and Economic Models

Jati Sengupta
Stochastic Optimization and Economic Models Book PDF

Author : Jati Sengupta
Publisher : Springer Science & Business Media
Page : 381 pages
File Size : 45,8 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9789401730853

Get Book

Stochastic Optimization and Economic Models by Jati Sengupta Pdf

This book presents the main applied aspects of stochas tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap plied stochastic control using stochastic processes have now reached an exciti~g phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where stochastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Stochastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.

Stochastic Economic Dynamics

Bjarne S. Jensen,Tapio Palokangas
Stochastic Economic Dynamics Book PDF

Author : Bjarne S. Jensen,Tapio Palokangas
Publisher : Copenhagen Business School Press DK
Page : 464 pages
File Size : 50,7 Mb
Release : 2007
Category : Business & Economics
ISBN : 8763001853

Get Book

Stochastic Economic Dynamics by Bjarne S. Jensen,Tapio Palokangas Pdf

This book analyzes stochastic dynamic systems across a broad spectrum in economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts. The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; and Intertemporal Optimization in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory; and risk aversion. The works collected in this book serves to bridge the "old" deterministic dynamics and the "new" stochastic dynamics. The collection is important for scholars and advanced graduate students of economics, statistics, and applied mathematics.

Stochastic Methods in Economics and Finance

A.G. Malliaris
Stochastic Methods in Economics and Finance Book PDF

Author : A.G. Malliaris
Publisher : North Holland
Page : 332 pages
File Size : 48,6 Mb
Release : 1982
Category : Business & Economics
ISBN : UCSC:32106010712633

Get Book

Stochastic Methods in Economics and Finance by A.G. Malliaris Pdf

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.

The Economics of Inaction

Nancy L. Stokey
The Economics of Inaction Book PDF

Author : Nancy L. Stokey
Publisher : Princeton University Press
Page : 321 pages
File Size : 50,9 Mb
Release : 2009
Category : Business & Economics
ISBN : 9780691135052

Get Book

The Economics of Inaction by Nancy L. Stokey Pdf

In The Economics of Inaction, leading economist Nancy Stokey shows how the tools of stochastic control can be applied to dynamic problems of decision making under uncertainty when fixed costs are present. Stokey provides a self-contained, rigorous, and clear treatment of two types of models, impulse and instantaneous control. She presents the relevant results about Brownian motion and other diffusion processes, develops methods for analyzing each type of problem, and discusses applications to price setting, investment, and durable goods purchases."--Pub. desc.

Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations

Steven R. Dunbar
Mathematical Modeling in Economics and Finance Probability Stochastic Processes and Differential Equations Book PDF

Author : Steven R. Dunbar
Publisher : American Mathematical Soc.
Page : 232 pages
File Size : 49,9 Mb
Release : 2019-04-03
Category : Economics
ISBN : 9781470448394

Get Book

Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations by Steven R. Dunbar Pdf

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.

Applications of Stochastic Optimal Control to Economics and Finance

Salvatore Federico,Giorgio Ferrari,Luca Regis
Applications of Stochastic Optimal Control to Economics and Finance Book PDF

Author : Salvatore Federico,Giorgio Ferrari,Luca Regis
Publisher : Unknown
Page : 206 pages
File Size : 52,5 Mb
Release : 2020-06-23
Category : Electronic
ISBN : 3039360582

Get Book

Applications of Stochastic Optimal Control to Economics and Finance by Salvatore Federico,Giorgio Ferrari,Luca Regis Pdf

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.

Stochastic Volatility

Neil Shephard
Stochastic Volatility Book PDF

Author : Neil Shephard
Publisher : Oxford University Press on Demand
Page : 534 pages
File Size : 48,5 Mb
Release : 2005
Category : Business & Economics
ISBN : 9780199257201

Get Book

Stochastic Volatility by Neil Shephard Pdf

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.

Comparisons of Stochastic Matrices with Applications in Information Theory, Statistics, Economics and Population

JOEL COHEN,J.H.B. Kempermann,G. Zbaganu
Comparisons of Stochastic Matrices with Applications in Information Theory Statistics Economics and Population Book PDF

Author : JOEL COHEN,J.H.B. Kempermann,G. Zbaganu
Publisher : Springer Science & Business Media
Page : 170 pages
File Size : 51,9 Mb
Release : 1998-09-29
Category : Mathematics
ISBN : 0817640827

Get Book

Comparisons of Stochastic Matrices with Applications in Information Theory, Statistics, Economics and Population by JOEL COHEN,J.H.B. Kempermann,G. Zbaganu Pdf

Some of the possible implications among these comparisons remain open questions. The results in this book establish a new field of investigation for both mathematicians and scientific users interested in the variations among multiple probability distributions.

A Practitioner's Guide to Stochastic Frontier Analysis Using Stata

Subal C. Kumbhakar,Hung-jen Wang (ǂd),Alan P. Horncastle
A Practitioner s Guide to Stochastic Frontier Analysis Using Stata Book PDF

Author : Subal C. Kumbhakar,Hung-jen Wang (ǂd),Alan P. Horncastle
Publisher : Cambridge University Press
Page : 375 pages
File Size : 48,9 Mb
Release : 2015-02-02
Category : Business & Economics
ISBN : 9781107029514

Get Book

A Practitioner's Guide to Stochastic Frontier Analysis Using Stata by Subal C. Kumbhakar,Hung-jen Wang (ǂd),Alan P. Horncastle Pdf

This book provides practitioners with a step-by-step guide on how to conduct efficiency analysis using the stochastic frontier approach.

Stochastic Programming

Horand Gassmann,Stein W. Wallace,W. T. Ziemba
Stochastic Programming Book PDF

Author : Horand Gassmann,Stein W. Wallace,W. T. Ziemba
Publisher : World Scientific
Page : 549 pages
File Size : 40,7 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814407519

Get Book

Stochastic Programming by Horand Gassmann,Stein W. Wallace,W. T. Ziemba Pdf

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Stochastic Dominance

Haim Levy
Stochastic Dominance Book PDF

Author : Haim Levy
Publisher : Springer Science & Business Media
Page : 384 pages
File Size : 41,9 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9781475728408

Get Book

Stochastic Dominance by Haim Levy Pdf

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: a) The stochastic dominance approach, developed on the foundation of von Neumann and Morgenstern' expected utility paradigm. 2 b) The mean-variance approach developed by Markowitz on the foundation of von-Neumann and Morgenstem's expected utility or simply on the assumption of a utility function based on mean and variance. c) The non-expected utility approach, focusing on prospect theory and its modi fied version, cumulative prospect theory. This theory is based on an experi mental finding that subjects participating in laboratory experiments often violate expected utility maximization: They tend to use · subjective probability beliefs that differ systematically from the objective probabilities and to base their decisions on changes in wealth rather than on total wealth. The above approaches are discussed and compared in this book. W e also discuss cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. We then discuss the relationship between stochastic dominance rules and prospect theory, and establish a new investment decision rule which combines the two and which we call prospect stochastic dominance. Although all three approaches are discussed, most of the book is devoted to the stochastic dominance paradigm.

Security Markets

Darrell Duffie
Security Markets Book PDF

Author : Darrell Duffie
Publisher : Academic Press Incorporated
Page : 682 pages
File Size : 54,9 Mb
Release : 1988-07-28
Category : Business & Economics
ISBN : CHI:32211122

Get Book

Security Markets by Darrell Duffie Pdf

This is an introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting.