Economics

STOCHASTIC METHODS IN ECONOMICS AND FINANCE

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Stochastic Methods in Economics and Finance introduces the reader to certain mathematical techniques by presenting both their theoretical elements and their applications. Topics such as martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Ito's lemma as a tool of stochastic calculus, basic facts about stochastic differential equations, the notion of stochastic stability and the methods of stochastic control are discussed and their usc in economic theory and fmance is illustrated in numerous applica� tions. Among these applications we mention futures pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic macroeconomic model, competitive fmn under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds, term structure of interest rate, the market risk adjustment in project valuation, demand for cash balances and an asset pricing model.
Because the economics and fmance professions have accepted the superiority of dynamic deterministic methods over static analysis techniques, the time has come to further encourage the trend towards the application of dynamic stoch� astic methods.
These methods are expected to capture the complexities, measurement errors and uncertainties associated with economic reality and to provide a way of mod� eling some of the researcher's pure ignorance about the future. Knowing the tech­ niques or the methods presented here will enhance the ability to attack success­ fully some of the difficult applied problems arising in economics and finance. This book alone will not provide sufficient intellectual capital for the economic researchers to be fully equipped to solve a wide range of problems demanding stochastic methods. It is almost impossible to produce a book meeting such a standard. However, if used as an introductory survey of advanced stochastic meth­ ods, this book could serve as an efficient and useful guide to an enormous math­ ematics, economics and fmance literature. Such, then is, the nature of this book: an introductory survey of advanced stochastic methods applied in economic anal­ ysis with detailed sections on further remarks and references to provide guidance for additional reading

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Detail Information

Series Title

STOCHASTIC METHODS IN ECONOMICS AND FINANCE

Call Number

-

Publisher

USA : Elsevier Science B.V.., 1982

Collation

1-318

Language

English

ISBN/ISSN

0 444 86201 3

Classification

NONE

Content Type

-

Media Type

-

Carrier Type

-

Edition

1st Edtion

Subject(s)

Economics

Specific Detail Info

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Statement of Responsibility

-

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