Stochastic Optimal Control and the U.S. Financial Debt Crisis

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 146143078X
Total Pages : 167 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Stochastic Optimal Control and the U.S. Financial Debt Crisis by : Jerome L. Stein

Download or read book Stochastic Optimal Control and the U.S. Financial Debt Crisis written by Jerome L. Stein and published by Springer Science & Business Media. This book was released on 2012-03-30 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.

Stochastic Optimal Control, International Finance, and Debt Crises

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Author :
Publisher : Oxford University Press on Demand
ISBN 13 : 0199280576
Total Pages : 305 pages
Book Rating : 4.1/5 (992 download)

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Book Synopsis Stochastic Optimal Control, International Finance, and Debt Crises by : Jerome Leon Stein

Download or read book Stochastic Optimal Control, International Finance, and Debt Crises written by Jerome Leon Stein and published by Oxford University Press on Demand. This book was released on 2006-04-06 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both thereturn on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions.* What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis?* What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis?* What is the interaction between an excess debt and a misaligned exchange rate?The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.

Stochastic Optimal Control and the U.S. Financial Debt Crisis

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1461430798
Total Pages : 167 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Stochastic Optimal Control and the U.S. Financial Debt Crisis by : Jerome L. Stein

Download or read book Stochastic Optimal Control and the U.S. Financial Debt Crisis written by Jerome L. Stein and published by Springer Science & Business Media. This book was released on 2012-03-30 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.

Foreign Exchange Constraint and Developing Economies

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Author :
Publisher : Edward Elgar Publishing
ISBN 13 : 1800880502
Total Pages : 279 pages
Book Rating : 4.8/5 (8 download)

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Book Synopsis Foreign Exchange Constraint and Developing Economies by : Aleksandr V. Gevorkyan

Download or read book Foreign Exchange Constraint and Developing Economies written by Aleksandr V. Gevorkyan and published by Edward Elgar Publishing. This book was released on 2023-01-17 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign Exchange Constraint and Developing Economies addresses the complex nature of foreign exchange constraint for macroeconomic and social development. The book collects expertise and perspectives from a diverse set of contributions. Using a combination of innovative theoretical and empirical approaches, the book suggests several analytical frameworks to help advance academic research and policy work on foreign exchange and sustainable development.

Control of Stochastic Hybrid Systems based on Probabilistic Reachable Set Computation

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Author :
Publisher : kassel university press GmbH
ISBN 13 : 3737605807
Total Pages : 172 pages
Book Rating : 4.7/5 (376 download)

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Book Synopsis Control of Stochastic Hybrid Systems based on Probabilistic Reachable Set Computation by : Leonhard Asselborn

Download or read book Control of Stochastic Hybrid Systems based on Probabilistic Reachable Set Computation written by Leonhard Asselborn and published by kassel university press GmbH. This book was released on 2018-09-17 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis proposes an algorithmic controller synthesis based on the computation of probabilistic reachable sets for stochastic hybrid systems. Hybrid systems consist in general of a composition of discrete and continuous valued dynamics, and are able to capture a wide range of physical phenomena. The stochasticity is considered in form of normally distributed initial continuous states and normally distributed disturbances, resulting in stochastic hybrid systems. The reachable sets describe all states, which are reachable by a system for a given initialization of the system state, inputs, disturbances, and time horizon. For stochastic hybrid systems, these sets are probabilistic, since the system state and disturbance are random variables. This thesis introduces probabilistic reachable sets with a predefined confidence, which are used in an optimization based procedure for the determination of stabilizing control inputs. Besides the stabilizing property, the controlled dynamics also observes input constraints, as well as, so-called chance constraints for the continuous state. The main contribution of this thesis is the formulation of an algorithmic control procedure for each considerd type of stochastic hybrid systems, where different discrete dynamics are considered. First, a control procedure for a deterministic system with bounded disturbances is introduced, and thereafter a probabilistic distribution of the system state and the disturbance is assumed. The formulation of probabilistic reachable sets with a predefined confidence is subsequently used in a control procedure for a stochastic hybrid system, in which the switch of the continuous dynamics is externally induced. Finally, the control procedure based on reachable set computation is extended to a type of stochastic hybrid systems with autonomously switching of the continuous dynamics.

Sustainable Asset Accumulation and Dynamic Portfolio Decisions

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Author :
Publisher : Springer
ISBN 13 : 3662492296
Total Pages : 189 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis Sustainable Asset Accumulation and Dynamic Portfolio Decisions by : Carl Chiarella

Download or read book Sustainable Asset Accumulation and Dynamic Portfolio Decisions written by Carl Chiarella and published by Springer. This book was released on 2016-09-01 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines sustainable wealth formation and dynamic decision-making. The global economy experienced a veritable meltdown of asset markets in the years 2007-9, where many funds were overexposed to risky returns and suffered considerable losses. On the other hand, the long-term upswing in the stock market since 2010 has led to asset price booms and some new, but also uneven, wealth formation. In this book a broader set of constraints and guidelines for asset management and wealth accumulation is developed. The authors investigate how wealth formation and the proper management of financial funds can help to adequately buffer income risk and obtain sufficient risk-free income at a later stage of life, while also being socially and environmentally sustainable. The book explores behavioral and institutional rules for decision-making that reflect such constraints and guidelines, without necessarily being optimal in the narrow sense. The authors explain the need for such a dynamic decision-making and dynamic re-balancing of portfolios, by putting forward dynamic programming as an approach to dynamic decision-making that can allow sustainable wealth accumulation and dynamic asset allocation to be successfully integrated. This book provides a clear and comprehensive treatment of asset accumulation and dynamic portfolio models with an emphasis on long term and sustainable wealth formation. An important concern in public debate is the sustainability of our economy and this book employs cutting edge quantitative techniques and models to highlight important facts that cannot be disputed under any reasonable assumptions. It has the potential to become a standard reference for both academic researchers and quantitatively trained practitioners. Eckhard Platen, Professor of Quantitative Finance, University of Technology Sydney, Australia This book should be read by both academics and practitioners alike. The former will find intellectually rigorous discussions and innovative solutions. The latter may find a few of the concepts a bit challenging. Yet, theory and technology are there to help simplify the work of those who worry about what time it is rather than how to make a watch--- but they do need a watch. Jean Brunel, Founder of Brunel Associates and Editor of The Journal of Wealth Management

Reconstructing Keynesian Macroeconomics Volume 3

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Author :
Publisher : Routledge
ISBN 13 : 1317568648
Total Pages : 391 pages
Book Rating : 4.3/5 (175 download)

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Book Synopsis Reconstructing Keynesian Macroeconomics Volume 3 by : Carl Chiarella

Download or read book Reconstructing Keynesian Macroeconomics Volume 3 written by Carl Chiarella and published by Routledge. This book was released on 2014-12-17 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the third of three volumes offering a complete reinterpretation and restructuring of Keynesian macroeconomics and a detailed investigation of the disequilibrium adjustment processes characterizing the financial, the goods and the labour markets and their interaction. This book offers a full treatment of the interlinkages between the real and the financial markets, including an analysis of banking, credit, and endogenous money and asset markets. It remains critical of quite frequently used conventional macro models that have dropped the tradition of studying the macroeconomic feedback channels, well-known in the history of macroeconomics. Those feedback mechanisms are known to have the potential for instabilities with respect to real markets, price dynamics and financial markets. In this volume a particular emphasis is given to the financial-real interaction. The research in this book with its focus on Keynesian propagation mechanisms provides a unique alternative to the black-box shock-absorber approaches that dominate modern macroeconomics. The main conclusion of the work is that policy makers need to reconsider Keynesian ideas, but in the modern form in which they are expressed in this volume. Reconstructing Keynesian Macroeconomics will be of interest to students and researchers who want to look at alternatives to the mainstream macrodynamics that emerged from the Monetarist critique of Keynesianism. This book will also engage central bankers and macroeconomic policy makers.

Applications of Stochastic Optimal Control to Economics and Finance

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Publisher :
ISBN 13 : 9783039360581
Total Pages : 206 pages
Book Rating : 4.3/5 (65 download)

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Book Synopsis Applications of Stochastic Optimal Control to Economics and Finance by : Salvatore Federico

Download or read book Applications of Stochastic Optimal Control to Economics and Finance written by Salvatore Federico and published by . This book was released on 2020-06-23 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.

Monetary Policy in the Context of Financial Crisis

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Author :
Publisher : Emerald Group Publishing
ISBN 13 : 1784417793
Total Pages : 560 pages
Book Rating : 4.7/5 (844 download)

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Book Synopsis Monetary Policy in the Context of Financial Crisis by : Fredj Jawadi

Download or read book Monetary Policy in the Context of Financial Crisis written by Fredj Jawadi and published by Emerald Group Publishing. This book was released on 2015-07-02 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is Volume 24 of the monograph series International Symposia in Economic Theory and Econometrics. ISETE publishes proceedings of conferences and symposia, as well as research monographs of the highest quality and importance.

The Eurozone Crisis and the Future of Europe

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Publisher : Springer
ISBN 13 : 1137356758
Total Pages : 310 pages
Book Rating : 4.1/5 (373 download)

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Book Synopsis The Eurozone Crisis and the Future of Europe by : Rajeesh Kumar

Download or read book The Eurozone Crisis and the Future of Europe written by Rajeesh Kumar and published by Springer. This book was released on 2014-08-05 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors uncover the roots of the eurozone crisis, focusing on how this can be solved against the backdrop of a very deep financial and economic crisis and its strong social impact. Looking at the impact of the financial crisis on the eurozone, they explore the European Union's recent and future developments.

Playing against Nature

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Publisher : John Wiley & Sons
ISBN 13 : 1118620801
Total Pages : 280 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis Playing against Nature by : Seth Stein

Download or read book Playing against Nature written by Seth Stein and published by John Wiley & Sons. This book was released on 2014-04-09 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Defending society against natural hazards is a high-stakes gameof chance against nature, involving tough decisions. How should adeveloping nation allocate its budget between building schools fortowns without ones or making existing schools earthquake-resistant?Does it make more sense to build levees to protect against floods,or to prevent development in the areas at risk? Would more lives besaved by making hospitals earthquake-resistant, or using the fundsfor patient care? What should scientists tell the public when– as occurred in L’Aquila, Italy and Mammoth Lakes,California – there is a real but small risk of an upcomingearthquake or volcanic eruption? Recent hurricanes,earthquakes, and tsunamis show that society often handles suchchoices poorly. Sometimes nature surprises us, when an earthquake,hurricane, or flood is bigger or has greater effects than expectedfrom detailed hazard assessments. In other cases, nature outsmartsus, doing great damage despite expensive mitigation measures orcausing us to divert limited resources to mitigate hazards that areoverestimated. Much of the problem comes from the fact thatformulating effective natural hazard policy involves combiningscience, economics, and risk analysis to analyze a problem andexplore the costs and benefits of different options, in situationswhere the future is very uncertain. Because mitigation policies aretypically chosen without such analysis, the results are oftendisappointing. This book uses general principles and case studiesto explore how we can do better by taking an integrated view ofnatural hazards issues, rather than treating the relevantgeoscience, engineering, economics, and policy formulationseparately. Thought-provoking questions at the end of each chapterinvite readers to confront the complex issues involved. Readership: Instructors, researchers, practitioners, andstudents interested in geoscience, engineering, economics, orpolicy issues relevant to natural hazards. Suitable for upper-levelundergraduate or graduate courses. Additional resources can be found at: ahref="http://www.wiley.com/go/Stein/Playingagainstnature"http://www.wiley.com/go/Stein/Playingagainstnature/a

Advances in Non-linear Economic Modeling

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Publisher : Springer Science & Business Media
ISBN 13 : 3642420397
Total Pages : 262 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Advances in Non-linear Economic Modeling by : Frauke Schleer-van Gellecom

Download or read book Advances in Non-linear Economic Modeling written by Frauke Schleer-van Gellecom and published by Springer Science & Business Media. This book was released on 2013-12-11 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Debt, Risk and Liquidity in Futures Markets

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Publisher : Routledge
ISBN 13 : 1134147325
Total Pages : 231 pages
Book Rating : 4.1/5 (341 download)

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Book Synopsis Debt, Risk and Liquidity in Futures Markets by : Barry Goss

Download or read book Debt, Risk and Liquidity in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2007-09-17 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: The issues of developing country debt crises, increased volatility and risk, and the determination of market liquidity are high on the agendas of policy makers, market participants and researchers in the area of financial markets. These issues are also of major importance to regulators and exchange officials. This book contains a collection of eight papers which provide new insights into all three issues, with special emphasis on futures markets, which have received relatively little attention in the analysis of these problems. Issues explored and findings reported in this book, have implications for policy makers in framing recommendations to government, for government officials in shaping the regulatory structure of futures exchanges, for traders on these exchanges, and also for researchers planning future investigations. The book is relevant for post-graduate and advanced under-graduate courses on financial markets in Economics, Finance and Banking.

Global Waves of Debt

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Publisher : World Bank Publications
ISBN 13 : 1464815453
Total Pages : 403 pages
Book Rating : 4.4/5 (648 download)

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Book Synopsis Global Waves of Debt by : M. Ayhan Kose

Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Journal of Economic Literature

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Publisher :
ISBN 13 :
Total Pages : 388 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Journal of Economic Literature by :

Download or read book Journal of Economic Literature written by and published by . This book was released on 2006-12 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Mathematics of Finance

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Publisher : American Mathematical Soc.
ISBN 13 : 0821834126
Total Pages : 398 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Mathematics of Finance by : AMS-IMS-SIAM JOINT SUMMER RESEARCH CONFE

Download or read book Mathematics of Finance written by AMS-IMS-SIAM JOINT SUMMER RESEARCH CONFE and published by American Mathematical Soc.. This book was released on 2004 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: The mathematics of finance involves a wide spectrum of techniques that go beyond traditional applied mathematics. The field has witnessed a tremendous amount of progress in recent years, which has inspired communication and networking among researchers in finance, economics, engineering, and industry. This volume contains papers based on the talks given at the first AMS-IMS-SIAM joint research conference on financial mathematics. Topics covered include modeling, estimation, optimization, control, risk assessment and management, contingent claim pricing, dynamic hedging, and financial derivative design.

Guidelines for Public Debt Management -- Amended

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Author :
Publisher : International Monetary Fund
ISBN 13 : 149832892X
Total Pages : 39 pages
Book Rating : 4.4/5 (983 download)

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Book Synopsis Guidelines for Public Debt Management -- Amended by : International Monetary Fund

Download or read book Guidelines for Public Debt Management -- Amended written by International Monetary Fund and published by International Monetary Fund. This book was released on 2003-09-12 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: NULL