Stochastic Modeling in Economics and Finance
(Sprache: Englisch)
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...
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Klappentext zu „Stochastic Modeling in Economics and Finance “
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.
Inhaltsverzeichnis zu „Stochastic Modeling in Economics and Finance “
- Preface- Acknowledgments
Part I: Fundamentals
I.1. Money, Capital, and Securities
I.2. Interest Rate
I.3. Measures of Cash Flows
I.4. Return, Expected Return, and Risk
I.5. Valuation of Securities
I.6. Matching of Assets and Liabilities
I.7. Index Numbers and Inflation
I.8. Basics of Utility Theory
I.9. Markowitz Mean-Variance Portfolio
I.10. Capital Asset Pricing Model
I.11. Arbitrage Pricing Theory
I.12. Bibliographical Notes
Part II: Discrete Time Stochastic Decision Models
II.1. Introduction and Preliminaries
II.2. Multistage Stochastic Programs
II.3. Multiple Criteria
II.4. Selected Applications in Finance and Economics
II.5. Approximation Via Scenarios
II.6. Case Study: Bond Portfolio Management Problem
II.7. Incomplete Input Information
II.8. Numerical Techniques and Available Software; P. Popela
II.9. Bibliographical Notes
Part III: Stochastic Analysis and Diffusion Finance
III.1. Martingales
III.2. Stochastic Integration
III.3. Diffusion Financial Mathematics
III.4. Bibliographical Notes
- References
- Index
Bibliographische Angaben
- Autoren: Jitka Dupacova , J. Stepan , J. Hurt
- 2002, 404 Seiten, Masse: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer US
- ISBN-10: 1402008406
- ISBN-13: 9781402008405
- Erscheinungsdatum: 31.08.2002
Sprache:
Englisch
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