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Stochastic Modeling in Economics and Finance. Softcover reprint of the original 1st ed. 2002.
・ISBN 978-1-4419-5231-8 paper EUR 99.99
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| 著者・編者 | Dupacova, Jitka / Hurt, J. / Stepan, J., |
|---|---|
| シリーズ | Applied Optimization |
| 出版社 | (Springer-Verlag New York Inc., US) |
| 出版年月 | 2010 |
| ページ数 | 386 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-23109＞ |
解説
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.
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.