Stochastic Modeling in Economics and Finance PDF
by Jitka Dupacova, J. Hurt, J. Stepan
Part of the Applied Optimization series
Description
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.
Information
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Download - Immediately Available
- Format:PDF
- Publisher:Springer US
- Publication Date:30/12/2005
- Category:
- ISBN:9780306481673
Other Formats
- Paperback / softback from £104.05
- Hardback from £104.05
Information
-
Download - Immediately Available
- Format:PDF
- Publisher:Springer US
- Publication Date:30/12/2005
- Category:
- ISBN:9780306481673
