Books > Computing & IT > Computer programming
|
Buy Now
Stochastic Modeling in Economics and Finance (Hardcover, 2002 ed.)
Loot Price: R3,024
Discovery Miles 30 240
|
|
Stochastic Modeling in Economics and Finance (Hardcover, 2002 ed.)
Series: Applied Optimization, 75
Expected to ship within 10 - 15 working days
|
Unlike other books that focus only on selected specific subjects
this book provides both a broad and rich cross-section of
contemporary approaches to stochastic modeling in finance and
economics; it is decision making oriented. The material ranges from
common tools to solutions of sophisticated system problems and
applications.
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. Selected examples of successful applications in
finance, production planning and management of technological
processes and electricity generation are presented. Throughout, the
emphasis is on the appropriate use of the techniques, rather than
on the underlying mathematical proofs and theories.
In Part IV, the sections devoted tostochastic calculus cover also
more advanced topics such as DDS Theorem or extremal martingale
measures, which make it possible to treat more delicate models in
Mathematical Finance (complete markets, optimal control,
etc.)
Audience: Students and researchers in probability and statistics,
econometrics, operations research and various fields of finance,
economics, engineering, and insurance.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.