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Stochastic Methods in Economics and Finance, Volume 17 (Hardcover, 1979. 2e Tirage Ed.)
Loot Price: R1,713
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Stochastic Methods in Economics and Finance, Volume 17 (Hardcover, 1979. 2e Tirage Ed.)
Series: Advanced Textbooks in Economics
Expected to ship within 12 - 17 working days
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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, Ito'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.
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