Stochastic Optimal Control And The U S Financial Debt Crisis

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Stochastic Optimal Control And The U S Financial Debt Crisis

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Author : Jerome L. Stein
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-03-30

Stochastic Optimal Control And The U S Financial Debt Crisis written by Jerome L. Stein 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 2012-03-30 with Business & Economics categories.

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 Optimal Control International Finance And Debt Crises

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Author : Jerome L. Stein
language : en
Publisher: OUP Oxford
Release Date : 2006-04-06

Stochastic Optimal Control International Finance And Debt Crises written by Jerome L. Stein and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-06 with Business & Economics categories.

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 the return 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.

Foreign Exchange Constraint And Developing Economies

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Author : Aleksandr V. Gevorkyan
language : en
Publisher: Edward Elgar Publishing
Release Date : 2023-01-17

Foreign Exchange Constraint And Developing Economies written by Aleksandr V. Gevorkyan and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-17 with Business & Economics categories.

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.

The Eurozone Crisis And The Future Of Europe

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Author : Rajeesh Kumar
language : en
Publisher: Springer
Release Date : 2015-12-11

The Eurozone Crisis And The Future Of Europe written by Rajeesh Kumar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-11 with Political Science categories.

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.

Control Of Stochastic Hybrid Systems Based On Probabilistic Reachable Set Computation

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Author : Leonhard Asselborn
language : en
Publisher: kassel university press GmbH
Release Date : 2018-09-17

Control Of Stochastic Hybrid Systems Based On Probabilistic Reachable Set Computation written by Leonhard Asselborn and has been published by kassel university press GmbH this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-17 with Hybrid systems categories.

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.

Sustainable Asset Accumulation And Dynamic Portfolio Decisions

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Author : Carl Chiarella
language : en
Publisher: Springer
Release Date : 2016-09-01

Sustainable Asset Accumulation And Dynamic Portfolio Decisions written by Carl Chiarella and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-01 with Business & Economics categories.

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

Reconstructing Keynesian Macroeconomics Volume 3

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Author : Carl Chiarella
language : en
Publisher: Routledge
Release Date : 2014-12-17

Reconstructing Keynesian Macroeconomics Volume 3 written by Carl Chiarella and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-17 with Business & Economics categories.

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.

Mathematics Of Finance

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Author : George Yin
language : en
Publisher: American Mathematical Soc.
Release Date : 2004

Mathematics Of Finance written by George Yin and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.

Contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird. This book includes such topics as modeling, estimation, optimization, control, and risk assessment and management. It is suitable for students interested in mathematical finance.

Monetary Policy In The Context Of Financial Crisis

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Author : Fredj Jawadi
language : en
Publisher: Emerald Group Publishing
Release Date : 2015-07-02

Monetary Policy In The Context Of Financial Crisis written by Fredj Jawadi and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-02 with Business & Economics categories.

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.

Playing Against Nature

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Author : Seth Stein
language : en
Publisher: John Wiley & Sons
Release Date : 2014-04-09

Playing Against Nature written by Seth Stein and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-09 with Science categories.

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