stochastic optimal control and the u s financial debt crisis

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Stochastic Optimal Control And The U S Financial Debt Crisis

Author : Jerome L. Stein
ISBN : 9781461430797
Genre : Business & Economics
File Size : 82. 55 MB
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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

Author : Jerome L. Stein
ISBN : 9780199280575
Genre : Business & Economics
File Size : 30. 31 MB
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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.

Control Of Stochastic Hybrid Systems Based On Probabilistic Reachable Set Computation

Author : Leonhard Asselborn
ISBN : 9783737605809
Genre :
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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.

Monetary Policy In The Context Of Financial Crisis

Author : Fredj Jawadi
ISBN : 9781784417796
Genre : Business & Economics
File Size : 73. 64 MB
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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.

Australian Economic Papers

Author :
ISBN : UOM:39015079808146
Genre : Economics
File Size : 60. 18 MB
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Fundamental Determinants Of Exchange Rates

Author : Jerome L. Stein
ISBN : 9780198293064
Genre : Business & Economics
File Size : 57. 97 MB
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Existing models fail to explain the large fluctuations in the real exchange rates of most currencies over the past twenty years. The Natural Real Exchange Rate approach (NATREX) taken here offers an alternative paradigm to those which focus on short-run movements of nominal eschange rates, purchasing power parity of the representative agent intertemporal optimization models. Yet it is also neo-classical in its stress upon the accepted fundamentals driving a real economy. It concentrates on the real exchange rate, and explains medium- tolong-run movements in equilibrium real exchange rates in terms of fundamental variables: the productivity of capital and social (public plus private) thrift at home and abroad. The NATREX approach is a family of growth models, each tailored to the characteristics of the countries considered. The authors explain the real international value of the US dollar relativ to the G10 countries, and the US current account. These are two large economies. The model is also applied to small economies, where it explains the real value of the Australian dollar and the Latin American currencies relative to the US dollar. The model is relevant for developing countries where the foreign debt is a concern. Finally, it is applied to two medium-sized economies to explain the bilateral exchange rate between the French franc and the Deutsche Mark. The authors demonstrate both the promise of the NATREX model and its applicability to economies large and small. Alongside the analysis, econometrics, and technical details of these case studies, the introductory chapter explains in accessible terms the rationale behind the approach. The mix of theory and empirical evidence makes this book relevant to academics and advanced graduate students, and to central banks, ministries of finance, and those concerned with the foreign debt of developing countries.

Stochastic Processes Finance And Control

Author : Robert J. Elliot
ISBN : 9789814383301
Genre : Mathematics
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This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.

Stochastic Population Dynamics In Ecology And Conservation

Author : Russell Lande
ISBN : 0198525257
Genre : Philosophy
File Size : 58. 25 MB
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All populations fluctuate stochastically, creating a risk of extinction that does not exist in deterministic models, with fundamental consequences for both pure and applied ecology. This book provides the most comprehensive introduction to stochastic population dynamics, combining classical background material with a variety of modern approaches, including new and previously unpublished results by the authors, illustrated with examples from bird and mammal populations, and insect communities. Demographic and environmental stochasticity are introduced with statistical methods for estimating them from field data. The long-run growth rate of a population is explained and extended to include age structure with both deomgraphic and environmental stochasticity. Diffusion approximations facilitate the analysis of extinction dynamics and the duration of the final decline. Methods are developed for estimating delayed density dependence from population time series using life historydata. Metapopulation viability and the spatial scale of population fluctuations and extinction risk are analyzed. Stochastic dynamics and statistical uncertainty in population parameters are incorporated in Population Viability Analysis and strategies for sustainable harvesting. Statistics of species diversity measures and species abundance distributions are described, with implications for rapid assessments of biodiversity, and methods are developed for partitioning species diversity intoadditive components. Analysis of the stochastic dynamics of a tropical butterfly community in space and time indicates that most of the variance in the species abundance distribution is due to ecological heterogeneity among species, so that real communities are far from neutral.

Aanwinsten Van De Centrale Bibliotheek Queteletfonds

Author : Bibliothèque centrale (Fonds Quetelet)
ISBN : STANFORD:36105115074192
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Multifractal Financial Markets

Author : Yasmine Hayek Kobeissi
ISBN : 9781461444909
Genre : Business & Economics
File Size : 43. 67 MB
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Multifractal Financial Markets ​explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.

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