Stochastic Methods in Economics and Finance: Volume 17 (Advanced Textbooks in Economics, Volume 17) - Tapa dura

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9780444862013: Stochastic Methods in Economics and Finance: Volume 17 (Advanced Textbooks in Economics, Volume 17)
Tapa dura
ISBN 10: 0444862013 ISBN 13: 9780444862013
Editorial: Elsevier BV, 1999

Sinopsis

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, Itô'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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Críticas

R. Kihlstrom
This book will almost certainly become a basic reference for academic researchers in finance. It will also find wide use as a textbook for Ph.D. students in finance and economics.
Mathematical Reviews

Reseña del editor

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, Itô'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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Elsevier BV
Año de publicación
1999
Idioma
Inglés
ISBN 10 
0444862013
ISBN 13 
9780444862013
Encuadernación
Tapa dura
Número de páginas
324
Contacto del fabricante
no disponible
Persona responsable
no disponible

Otras ediciones populares con el mismo título

9781493302604: Stochastic Methods in Economics and Finance: Volume 17 (Advanced Textbooks in Economics)

Edición Destacada

ISBN 10:  1493302604 ISBN 13:  9781493302604
Editorial: Elsevier, 1982
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