Stochastic Modeling in Economics and Finance (Paperback, Softcover reprint of the original 1st ed. 2002)

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.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Applied Optimization, 75
Release date:	December 2010
First published:	2002
Authors:	Jitka Dupacova • J Hurt • J. Stepan
Dimensions:	235 x 155 x 20mm (L x W x T)
Format:	Paperback
Pages:	386
Edition:	Softcover reprint of the original 1st ed. 2002
ISBN-13:	978-1-4419-5231-8
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Management & management techniques > Operational research Books > Science & Mathematics > Mathematics > Optimization > General Books > Money & Finance > General
LSN:	1-4419-5231-4
Barcode:	9781441952318

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