Book Description
Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. Many mathematical tools are needed to solve these models. The book presents various methods for computing the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. Part II discusses methods for solving heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. Through an accompanying home page to this book, computer codes to all applications can be downloaded.
Book Description
Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.
This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to:
students looking for a general and in-depth introduction to the field;
financial engineers, economists, econometricians, actuarial professionals;
researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; and
quantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence.
In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.
Book Description
Many optimization questions arise in economics and finance; an important example of this is the society's choice of the optimum state of the economy (the social choice problem). Optimization in Economics and Finance extends and improves the usual optimization techniques, in a form that may be adopted for modeling social choice problems. Problems discussed include: when is an optimum reached; when is it unique; relaxation of the conventional convex (or concave) assumptions on an economic model; associated mathematical concepts such as invex and quasimax; multiobjective optimal control models; and related computational methods and programs. These techniques are applied to economic growth models (including small stochastic perturbations), finance and financial investment models (and the interaction between financial and production variables), modeling sustainability over long time horizons, boundary (transversality) conditions, and models with several conflicting objectives. Although the applications are general and illustrative, the models in this book provide examples of possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. As well as using existing computer programs for optimization of models, a new computer program, named SCOM, is presented in this book for computing social choice models by optimal control.
Average customer rating:
- Compact And a little profound
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Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)
Antonio Mele , and
Fabio Fornari
Manufacturer: Springer
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ASIN: 0792378423 |
Book Description
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Customer Reviews:
Compact And a little profound.......2001-06-09
Just as the title, it is a compact book and not so easy to read. It is a technic book for us to understand how to measure the volitility in the financial market.It takes me a lot of time to read this one.I think it would be better for people to know a little stochastic calculus at first and then try to read it.... It is a good book I think and suits for the one who wants to know the topic more deeply.
Book Description
Praise for Dynamic Term Structure Modeling
"This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike."
—Sanjiv Ranjan Das
Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives
"Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point."
—Nassim Nicholas Taleb
author, Dynamic Hedging and The Black Swan
"Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models."
—Pierre Collin-Dufresne
Associate Professor of Finance, UC Berkeley
"The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation."
—Thomas S. Y. Ho, PHD
President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
Average customer rating:
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Stochastic Modeling and Optimization of Manufacturing Systems and Supply Chains (International Series in Operations Research & Management Science)
Manufacturer: Springer
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Binding: Hardcover
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ASIN: 1402075081 |
Book Description
The Editors have taken the occasion of Professor John A. Buzacott's retirement as a motivating event to develop this volume. The objectives of
Stochastic Modeling And Optimization Of Manufacturing Systems And Supply Chains is to both honor John Buzacott's achievements and to publish a set of well-written chapters on highly timely topics in the field of manufacturing and supply chain management. The book is organized into two parts. The first part focuses on aspects of manufacturing systems modeling. This part includes chapters on the evolution of manufacturing systems modeling, queuing network models and related software technologies, two-moment approximation for fork/join queues, and asymptotic optimality of a scheduling policy.
The second part focuses on production-inventory systems and supply chains. This part includes chapters on a multi-echelon logistics system, optimal control of a substitutable inventory system, structured assemble-to-order systems, the impact of advance demand information on various production-inventory control mechanisms, the quality of demand information as it impacts flexible contracts, the supply of information goods using spot and forward pricing strategies, modeling frameworks that connect material flows with financial information flows.
The book examines cutting-edge topics that have been invited and organized by the Editors from leading researchers in the field. Each chapter presentation has been carefully reviewed and crafted by the Editors and contributing authors. The volume is a fitting recognition of John Buzacott's lifetime contributions to this field.
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Modeling Aggregate Behavior and Fluctuations in Economics: Stochastic Views of Interacting Agents
Masanao Aoki
Manufacturer: Cambridge University Press
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Binding: Paperback
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ASIN: 0521606195 |
Book Description
This book analyzes how a large but finite number of agents interact, and what sorts of macroeconomic statistical regularities or patterns may evolve from these interactions. By keeping the number of agents finite, the book examines situations such as fluctuations about equilibria, multiple equilibria and asymmetrical cycles of models which are caused by model states stochastically moving from one basin of attraction to another. All of these are not tractable using traditional deterministic modeling approaches. The book also discusses how agents may form clusters with stationary distributions of cluster sizes. These have important applications in analyzing volatilities of asset returns.
Download Description
This book has two components: stochastic dynamics and stochastic random combinatorial analysis. The first discusses evolving patterns of interactions of a large but finite number of agents of several types. Changes of agent types or their choices or decisions over time are formulated as jump Markov processes with suitably specified transition rates: optimizations by agents make these rates generally endogenous. Probabilistic equilibrium selection rules are also discussed, together with the distributions of relative sizes of the bases of attraction. As the number of agents approaches infinity, we recover deterministic macroeconomic relations of more conventional economic models. The second component analyzes how agents form clusters of various sizes. This has applications for discussing sizes or shares of markets by various agents which involve some combinatorial analysis patterned after the population genetics literature. These are shown to be relevant to distributions of returns to assets, volatility of returns, and power laws.
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Coping with Uncertainty: Modeling and Policy Issues (Lecture Notes in Economics and Mathematical Systems)
Manufacturer: Springer
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Binding: Paperback
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ASIN: 3540352589 |
Book Description
This book contributes substantively to the current state of the art of macroeconomic modeling by providing a method for modeling large collections of heterogeneous agents subject to nonpairwise externality called field effects, i.e. feedback of aggregate effects on individual agents or agents using state-dependent strategies. Adopting a level of microeconomic description that keeps track of compositions of fractions of agents by "types" or "strategies", time evolution of the microeconomic states is described by (backward) Chapman-Kolmogorov equations.
Customer Reviews:
Content.......2001-02-28
Content: 1 Introduction 2 Simple Illustrative and Motivating Examples 3 Empirical Distributions: Statistical Laws in Macroeconomics 4 Modeling Interactions I: Jump Markov Processes 5 Modeling Interactions II: Master Equations and Field Effects 6 Modeling Interactions III: Pairwise and Multiple-Pair Interactions 7 Sluggish Dynamics and Hierarchical State Spaces 8 Self-organizing and Other Critical Phenomena in Economic Models Elaborations and Future Directions of Research Appendix References Index
A stimulating synthesis -- physics models of social systems.......1999-09-17
Can statistical physics methods be used to help understand and predict the behaviors of groups of people over time? Aoki, a well-known expert in optimal control theory and dynamic models applied to economic models, suggests that they can. This book offers an inspiring medley of technical ideas and probabilistic models -- based on analogies to spin glasses, self-organizing physical systems, and key ideas of statistical mechanics -- to make plausible the idea that behaviors of aggregates of rational actors, too, can be predicted statistically. (Enthusiasts of Isaac Asimov's Foundation series, take note!)
The book is worth studying carefully for its ideas and models, even though its main thesis may not ultimately be convincing. It presents and illustrates modeling techniques that will be useful to marketing scientists and quantitative social scientists as well as to economists. A central idea is that individual behaviors can be represented by transitions among discrete choices or microstates, while the rates at which these transitions take place may depend on the frequency distribution of the whole population (and/or of local subpopulations)among microstates. The result is an adaptive process in which individual choices define the aggregate macrostate (i.e., the frequency distribution of individuals of various distinguished types among microstates), which in turn affects subsequent choices. Whether this adaptive process will reach any equilibrium, and, if so, which one and how and when, are principal concerns addressed through various well-analyzed models.
The techniques introduced and illustrated are primarily, partition function and stochastic process methods, including jump processes, diffusion processes, and martingale methods. Other ideas, from critical process theory, stochastic epidemics, large deviations, and maximum entropy econometrics and physics, are introduced and exploited where appropriate. The practical value of such methods to modelers cannot be denied. Aoki's main theme, that such techniques can be used to predict behaviors of populations of individuals, is not buttressed by any real applications. The models presented may be too simple to capture what many social scientists would consider essential real-world complexities, such as the generation of new player types and roles and the effects of boundaries and spatial distributions of resources and environments on populations over time. Nonetheless, the collection of ideas and methods presented, and the overall vision of a social science in which inter-individual heterogeneities and choices are accounted for by discrete transitions, makes this monograph exciting and valuable.
Note: Readers who enjoy this book may also want to read T.C. Schelling's Micromotives and Macrobehavior. Schelling's book is much less technical, but follows some of the same big ideas and applies them to many homely, compelling examples.
Average customer rating:
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Stochastic Modeling and Analysis of Manufacturing Systems (Problem Books in Mathematics)
Manufacturer: Springer
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Binding: Hardcover
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ASIN: 3540943196 |
Book Description
Manufacturing systems have become increasingly complex over recent years. This volume presents a collection of chapters which reflect the recent developments of probabilistic models and methodologies that have either been motivated by manufacturing systems research or been demonstrated to have significant potential in such research.
The editor has invited a number of leading experts to present detailed expositions of specific topics. These include: Jackson networks, fluid models, diffusion and strong approximations, the GSMP framework, stochastic convexity and majorization, perturbation analysis, scheduling via Brownian models, and re-entrant lines and dynamic scheduling. Each chapter has been written with graduate students in mind, and several have been used in graduate courses that teach the modeling and analysis of manufacturing systems.
Books:
- Economics of Money, Banking, and Financial Markets, Update (7th Edition) (Addison-Wesley Series in Economics)
- Exceeding Customer Expectations: What Enterprise, America's #1 car rental company, can teach you about creating lifetime customers
- FEMININE MISTAKE, THE: ARE WE GIVING UP TOO MUCH?
- Free Agent Nation: The Future of Working for Yourself
- Free to Choose: A Personal Statement
- Free to Choose: A Personal Statement
- Free to Choose: A Personal Statement
- Game Theory: Analysis of Conflict
- Gender Inclusive Game Design: Expanding The Market (Advances in Computer Graphics and Game Development Series)
- Getting Things Done: The Art of Stress-Free Productivity
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