Stochastic Optimal Control And The U S Financial Debt Crisis

Author : Jerome L. Stein
Publisher : Springer Science & Business Media
Page : 167 pages
File Size : 43,5 Mb
Release : 2012-03-30
Category : Business & Economics
ISBN : 9781461430797

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Stochastic Optimal Control and the U.S. Financial Debt Crisis by Jerome L. Stein Pdf

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 : Jerome Leon Stein,Visiting Research Professor Division of Applied Mathematics Emeritus Professor of Economics Eastman Professor of Political Economy Jerome L Stein
Publisher : Oxford University Press on Demand
Page : 305 pages
File Size : 52,8 Mb
Release : 2006-04-06
Category : Business & Economics
ISBN : 9780199280575

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Stochastic Optimal Control, International Finance, and Debt Crises by Jerome Leon Stein,Visiting Research Professor Division of Applied Mathematics Emeritus Professor of Economics Eastman Professor of Political Economy Jerome L Stein Pdf

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 : Aleksandr V. Gevorkyan
Publisher : Edward Elgar Publishing
Page : 279 pages
File Size : 47,9 Mb
Release : 2023-01-17
Category : Business & Economics
ISBN : 9781800880504

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Foreign Exchange Constraint and Developing Economies by Aleksandr V. Gevorkyan Pdf

Foreign Exchange Constraint and Developing Economies addresses the complex nature of foreign exchange constraint for macroeconomic and social development. The book collects expertise and perspectives from a diverse set of contributions. Using a combination of innovative theoretical and empirical approaches, the book suggests several analytical frameworks to help advance academic research and policy work on foreign exchange and sustainable development.

Author : Rajeesh Kumar
Publisher : Springer
Page : 487 pages
File Size : 55,5 Mb
Release : 2015-12-11
Category : Political Science
ISBN : 9781137356758

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The Eurozone Crisis and the Future of Europe by Rajeesh Kumar Pdf

The authors uncover the roots of the eurozone crisis, focusing on how this can be solved against the backdrop of a very deep financial and economic crisis and its strong social impact. Looking at the impact of the financial crisis on the eurozone, they explore the European Union's recent and future developments.

Author : Leonhard Asselborn
Publisher : kassel university press GmbH
Page : 172 pages
File Size : 47,6 Mb
Release : 2018-09-17
Category : Hybrid systems
ISBN : 9783737605809

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Control of Stochastic Hybrid Systems based on Probabilistic Reachable Set Computation by Leonhard Asselborn Pdf

This thesis proposes an algorithmic controller synthesis based on the computation of probabilistic reachable sets for stochastic hybrid systems. Hybrid systems consist in general of a composition of discrete and continuous valued dynamics, and are able to capture a wide range of physical phenomena. The stochasticity is considered in form of normally distributed initial continuous states and normally distributed disturbances, resulting in stochastic hybrid systems. The reachable sets describe all states, which are reachable by a system for a given initialization of the system state, inputs, disturbances, and time horizon. For stochastic hybrid systems, these sets are probabilistic, since the system state and disturbance are random variables. This thesis introduces probabilistic reachable sets with a predefined confidence, which are used in an optimization based procedure for the determination of stabilizing control inputs. Besides the stabilizing property, the controlled dynamics also observes input constraints, as well as, so-called chance constraints for the continuous state. The main contribution of this thesis is the formulation of an algorithmic control procedure for each considerd type of stochastic hybrid systems, where different discrete dynamics are considered. First, a control procedure for a deterministic system with bounded disturbances is introduced, and thereafter a probabilistic distribution of the system state and the disturbance is assumed. The formulation of probabilistic reachable sets with a predefined confidence is subsequently used in a control procedure for a stochastic hybrid system, in which the switch of the continuous dynamics is externally induced. Finally, the control procedure based on reachable set computation is extended to a type of stochastic hybrid systems with autonomously switching of the continuous dynamics.

Author : Carl Chiarella,Willi Semmler,Chih-Ying Hsiao,Lebogang Mateane
Publisher : Springer
Page : 189 pages
File Size : 42,5 Mb
Release : 2016-09-01
Category : Business & Economics
ISBN : 9783662492291

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Sustainable Asset Accumulation and Dynamic Portfolio Decisions by Carl Chiarella,Willi Semmler,Chih-Ying Hsiao,Lebogang Mateane Pdf

This book examines sustainable wealth formation and dynamic decision-making. The global economy experienced a veritable meltdown of asset markets in the years 2007-9, where many funds were overexposed to risky returns and suffered considerable losses. On the other hand, the long-term upswing in the stock market since 2010 has led to asset price booms and some new, but also uneven, wealth formation. In this book a broader set of constraints and guidelines for asset management and wealth accumulation is developed. The authors investigate how wealth formation and the proper management of financial funds can help to adequately buffer income risk and obtain sufficient risk-free income at a later stage of life, while also being socially and environmentally sustainable. The book explores behavioral and institutional rules for decision-making that reflect such constraints and guidelines, without necessarily being optimal in the narrow sense. The authors explain the need for such a dynamic decision-making and dynamic re-balancing of portfolios, by putting forward dynamic programming as an approach to dynamic decision-making that can allow sustainable wealth accumulation and dynamic asset allocation to be successfully integrated. This book provides a clear and comprehensive treatment of asset accumulation and dynamic portfolio models with an emphasis on long term and sustainable wealth formation. An important concern in public debate is the sustainability of our economy and this book employs cutting edge quantitative techniques and models to highlight important facts that cannot be disputed under any reasonable assumptions. It has the potential to become a standard reference for both academic researchers and quantitatively trained practitioners. Eckhard Platen, Professor of Quantitative Finance, University of Technology Sydney, Australia This book should be read by both academics and practitioners alike. The former will find intellectually rigorous discussions and innovative solutions. The latter may find a few of the concepts a bit challenging. Yet, theory and technology are there to help simplify the work of those who worry about what time it is rather than how to make a watch--- but they do need a watch. Jean Brunel, Founder of Brunel Associates and Editor of The Journal of Wealth Management

Author : Carl Chiarella,Peter Flaschel,Willi Semmler
Publisher : Routledge
Page : 391 pages
File Size : 48,8 Mb
Release : 2014-12-17
Category : Business & Economics
ISBN : 9781317568643

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Reconstructing Keynesian Macroeconomics Volume 3 by Carl Chiarella,Peter Flaschel,Willi Semmler Pdf

This book represents the third of three volumes offering a complete reinterpretation and restructuring of Keynesian macroeconomics and a detailed investigation of the disequilibrium adjustment processes characterizing the financial, the goods and the labour markets and their interaction. This book offers a full treatment of the interlinkages between the real and the financial markets, including an analysis of banking, credit, and endogenous money and asset markets. It remains critical of quite frequently used conventional macro models that have dropped the tradition of studying the macroeconomic feedback channels, well-known in the history of macroeconomics. Those feedback mechanisms are known to have the potential for instabilities with respect to real markets, price dynamics and financial markets. In this volume a particular emphasis is given to the financial-real interaction. The research in this book with its focus on Keynesian propagation mechanisms provides a unique alternative to the black-box shock-absorber approaches that dominate modern macroeconomics. The main conclusion of the work is that policy makers need to reconsider Keynesian ideas, but in the modern form in which they are expressed in this volume. Reconstructing Keynesian Macroeconomics will be of interest to students and researchers who want to look at alternatives to the mainstream macrodynamics that emerged from the Monetarist critique of Keynesianism. This book will also engage central bankers and macroeconomic policy makers.

Author : Fredj Jawadi,William Barnett
Publisher : Emerald Group Publishing
Page : 560 pages
File Size : 54,7 Mb
Release : 2015-07-02
Category : Business & Economics
ISBN : 9781784417796

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Monetary Policy in the Context of Financial Crisis by Fredj Jawadi,William Barnett Pdf

This is Volume 24 of the monograph series International Symposia in Economic Theory and Econometrics. ISETE publishes proceedings of conferences and symposia, as well as research monographs of the highest quality and importance.

Author : Seth Stein,Jerome Stein
Publisher : John Wiley & Sons
Page : 293 pages
File Size : 45,5 Mb
Release : 2014-04-09
Category : Science
ISBN : 9781118620809

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Playing against Nature by Seth Stein,Jerome Stein Pdf

Defending society against natural hazards is a high-stakes game of chance against nature, involving tough decisions. How should a developing nation allocate its budget between building schools for towns without ones or making existing schools earthquake-resistant? Does it make more sense to build levees to protect against floods, or to prevent development in the areas at risk? Would more lives be saved by making hospitals earthquake-resistant, or using the funds for patient care? What should scientists tell the public when – as occurred in L’Aquila, Italy and Mammoth Lakes, California – there is a real but small risk of an upcoming earthquake or volcanic eruption? Recent hurricanes, earthquakes, and tsunamis show that society often handles such choices poorly. Sometimes nature surprises us, when an earthquake, hurricane, or flood is bigger or has greater effects than expected from detailed hazard assessments. In other cases, nature outsmarts us, doing great damage despite expensive mitigation measures or causing us to divert limited resources to mitigate hazards that are overestimated. Much of the problem comes from the fact that formulating effective natural hazard policy involves combining science, economics, and risk analysis to analyze a problem and explore the costs and benefits of different options, in situations where the future is very uncertain. Because mitigation policies are typically chosen without such analysis, the results are often disappointing. This book uses general principles and case studies to explore how we can do better by taking an integrated view of natural hazards issues, rather than treating the relevant geoscience, engineering, economics, and policy formulation separately. Thought-provoking questions at the end of each chapter invite readers to confront the complex issues involved. Readership: Instructors, researchers, practitioners, and students interested in geoscience, engineering, economics, or policy issues relevant to natural hazards. Suitable for upper-level undergraduate or graduate courses. Additional resources can be found at: http://www.wiley.com/go/Stein/Playingagainstnature

Author : Frauke Schleer-van Gellecom
Publisher : Springer Science & Business Media
Page : 268 pages
File Size : 50,5 Mb
Release : 2013-12-11
Category : Business & Economics
ISBN : 9783642420399

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Advances in Non-linear Economic Modeling by Frauke Schleer-van Gellecom Pdf

In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Author : Barry Goss
Publisher : Routledge
Page : 231 pages
File Size : 49,6 Mb
Release : 2007-09-17
Category : Business & Economics
ISBN : 9781134147328

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Debt, Risk and Liquidity in Futures Markets by Barry Goss Pdf

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 : Salvatore Federico,Giorgio Ferrari,Luca Regis
Publisher : Unknown
Page : 206 pages
File Size : 47,7 Mb
Release : 2020-06-23
Category : Electronic
ISBN : 3039360582

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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.

Author : AMS-IMS-SIAM JOINT SUMMER RESEARCH CONFE,Ams-Ims-Siam Joint Summer Research Conference on Mathematics,George Yin,Qing Zhang
Publisher : American Mathematical Soc.
Page : 398 pages
File Size : 44,6 Mb
Release : 2004
Category : Business & Economics
ISBN : 9780821834121

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Mathematics of Finance by AMS-IMS-SIAM JOINT SUMMER RESEARCH CONFE,Ams-Ims-Siam Joint Summer Research Conference on Mathematics,George Yin,Qing Zhang Pdf

The mathematics of finance involves a wide spectrum of techniques that go beyond traditional applied mathematics. The field has witnessed a tremendous amount of progress in recent years, which has inspired communication and networking among researchers in finance, economics, engineering, and industry. This volume contains papers based on the talks given at the first AMS-IMS-SIAM joint research conference on financial mathematics. Topics covered include modeling, estimation, optimization, control, risk assessment and management, contingent claim pricing, dynamic hedging, and financial derivative design.

Author : Anonim
Publisher : Unknown
Page : 388 pages
File Size : 51,6 Mb
Release : 2006-12
Category : Economics
ISBN : UCSD:31822035813898

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Journal of Economic Literature by Anonim Pdf

Author : Dale Gray,Samuel Malone
Publisher : John Wiley & Sons
Page : 362 pages
File Size : 41,9 Mb
Release : 2008-04-30
Category : Business & Economics
ISBN : 0470756322

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Macrofinancial Risk Analysis by Dale Gray,Samuel Malone Pdf

Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.