Stochastic methods in economics and finance
Author(s)
Bibliographic Information
Stochastic methods in economics and finance
（Advanced textbooks in economics, v. 17）
North-Holland , Distributors for the United States and Canada, Elsevier Science, c1982
Available at / 106 libraries
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
330.18-209//C081000073564
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University Library for Agricultural and Life Sciences, The University of Tokyo図
331.19:Ma395009701672
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Note
Bibliography: p. [279]-293
Includes indexes
Description and Table of Contents
Description
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, Ito'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.
Table of Contents
Foreword (W.A. Brock). Results from Probability. Stochastic Calculus. Applications in Economics. Applications in Finance. Selected Bibliography.
by "Nielsen BookData"
