ENGLISH

Stochastic Modeling in Economics and Finance

By Jitka Dupačová , Jan Hurt , Josef à těpán (auth.)

Book information

Publisher
Springer US
Year
2003
ISBN
9781402008405, 1402008406
DOI
10.1007/b101992
LCC
HB135 .D87 2002
Open Library ID
OL18656616M
Language
english
Format
DJVU
Filesize
3 MB (3327953 bytes)
Series
Applied Optimization 75
Edition
1
Pages
XIII, 386 p.\394
Library
Kolxo3
DPI
300
Time added
2009-07-20 03:45:11

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.

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