Download Stochastic Modeling in Economics and Finance by Jitka Dupačová, Jan Hurt, Josef à těpán (auth.) PDF

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

Partly I, the basics of monetary considering and undemanding mathematical equipment of finance are provided. the strategy of presentation is easy sufficient to bridge the weather of economic mathematics and complicated types of monetary math built within the later components. It covers features of money flows, yield curves, and valuation of securities.
Part II is dedicated to the allocation of money and danger administration: classics (Markowitz thought of portfolio), capital asset pricing version, arbitrage pricing idea, asset & legal responsibility administration, worth in danger. the strategy rationalization takes into consideration the computational aspects.
Part III explains modeling points of multistage stochastic programming on a comparatively available point. It incorporates a survey of present software program, hyperlinks to parametric, multiobjective and dynamic programming, and to likelihood and records. It makes a speciality of scenario-based issues of the issues of situation iteration and output research mentioned intimately and illustrated inside of a case research.

Show description

Read or Download Stochastic Modeling in Economics and Finance PDF

Similar probability books

Cognition and Chance: The Psychology of Probabilistic Reasoning

Inability to imagine probabilistically makes one liable to quite a few irrational fears and at risk of scams designed to use probabilistic naiveté, impairs selection making below uncertainty, enables the misinterpretation of statistical details, and precludes serious review of probability claims.

Validation of Stochastic Systems: A Guide to Current Research

This instructional quantity offers a coherent and well-balanced creation to the validation of stochastic platforms; it truly is in keeping with a GI/Dagstuhl examine seminar. Supervised by means of the seminar organizers and quantity editors, demonstrated researchers within the zone in addition to graduate scholars prepare a set of articles adequately overlaying all correct matters within the zone.

Stochastic Modeling in Economics and Finance

Partially I, the basics of monetary pondering and ordinary mathematical tools of finance are provided. the tactic of presentation is straightforward adequate to bridge the weather of monetary mathematics and complicated types of monetary math constructed within the later elements. It covers features of money flows, yield curves, and valuation of securities.

Probabilidad y Estadística: Enfoque por Competencias

Este libro que tienes en las manos surge fundamentalmente de una inquietud own por escribir un texto que presentara ejemplos, ejercicios y casos sobre situaciones reales, más apegadas a lo que sucede tanto en México como en Latinoamérica para mostrar a las personas que los angeles probabilidad y los angeles estadística no son materias aburridas ni temibles.

Additional resources for Stochastic Modeling in Economics and Finance

Example text

15, the bond is a discount one. The dependence of the price of the bond on time to maturity is graphically illustrated in Figure 8. 05, etc. 2 Exercise. , with frequency 2, which is perhaps the most frequent case. I. 3 51 Remark (Construction of the Yield Curve of Coupon Bonds) The silllplest way is to take a set of similar coupon bonds with different maturities and their calculated yields to maturity. Then some method of fitting discussed above may be applied. An alternative approach is known as bootstrapping.

The crossover rate IAB is defined as a solution to the equation Obviously, there may be more than one solution so that we must select that one with a reasonable economic interpretation. Since the present value is a linear function on the space of cash flows, we see that the crossover rate iABis in fact the internal rate of return determined by the difference between the two projects, I R R A - ~ : In the neighborhood of the crossover rate the investor should take care and carefully study also the sensitivity of the present value profiles with respect to the interest rate.

A crossover* rate of two projects is such an interest rate for which the present values of the two projects are equal. Formally, let us consider two projects CFA and CFB. The crossover rate IAB is defined as a solution to the equation Obviously, there may be more than one solution so that we must select that one with a reasonable economic interpretation. Since the present value is a linear function on the space of cash flows, we see that the crossover rate iABis in fact the internal rate of return determined by the difference between the two projects, I R R A - ~ : In the neighborhood of the crossover rate the investor should take care and carefully study also the sensitivity of the present value profiles with respect to the interest rate.

Download PDF sample

Rated 4.95 of 5 – based on 13 votes