Stochastic Economics
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Stochastic Economics
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Author : Gerhard Tintner
language : en
Publisher: Elsevier
Release Date : 2014-05-10
Stochastic Economics written by Gerhard Tintner and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Mathematics categories.
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 Modeling In Economics And Finance
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Author : Jitka Dupacova
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-30
Stochastic Modeling In Economics And Finance written by Jitka Dupacova and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-30 with Mathematics categories.
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 Dominance And Applications To Finance Risk And Economics
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Author : Songsak Sriboonchita
language : en
Publisher: CRC Press
Release Date : 2009-10-19
Stochastic Dominance And Applications To Finance Risk And Economics written by Songsak Sriboonchita and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-19 with Business & Economics categories.
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 Methods In Economics And Finance
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Author : A.G. Malliaris
language : en
Publisher: North Holland
Release Date : 1982
Stochastic Methods In Economics And Finance written by A.G. Malliaris and has been published by North Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Business & Economics categories.
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
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Author : Nancy L. Stokey
language : en
Publisher: Princeton University Press
Release Date : 2009
The Economics Of Inaction written by Nancy L. Stokey and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
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.
Stochastic Optimization And Economic Models
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Author : Jati Sengupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Stochastic Optimization And Economic Models written by Jati Sengupta and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
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 Dominance
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Author : Haim Levy
language : en
Publisher: Springer
Release Date : 2015-10-31
Stochastic Dominance written by Haim Levy and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-31 with Business & Economics categories.
This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual’s utility is determined not only by his own wealth, but also by his standing relative to his peer group. Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case. From the reviews of the second edition: "This book is an economics book about stochastic dominance. ... is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d)
Stochastic Economic Dynamics
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Author : Bjarne S. Jensen
language : en
Publisher: Copenhagen Business School Press DK
Release Date : 2007
Stochastic Economic Dynamics written by Bjarne S. Jensen and has been published by Copenhagen Business School Press DK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
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 Volatility
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Author : Neil Shephard
language : en
Publisher: OUP Oxford
Release Date : 2005-03-10
Stochastic Volatility written by Neil Shephard and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-03-10 with Business & Economics categories.
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 book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.
Stochastic Control For Economic Models
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Author : David A. Kendrick
language : en
Publisher: McGraw-Hill Companies
Release Date : 1981
Stochastic Control For Economic Models written by David A. Kendrick and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Business & Economics categories.