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 : 21. 86 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 : 83. 36 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 : 89. 23 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.

Stochastic Processes Finance And Control

Author : Robert J. Elliot
ISBN : 9789814383301
Genre : Mathematics
File Size : 35. 28 MB
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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 : 38. 4 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.

Sovereign Rating News And Financial Markets Spillovers

Author : Bertrand Candelon
ISBN : 9781455276462
Genre : Business & Economics
File Size : 53. 18 MB
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This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.

Fundamental Determinants Of Exchange Rates

Author : Jerome L. Stein
ISBN : UCSC:32106011457519
Genre : Business & Economics
File Size : 21. 8 MB
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This monograph presents the natural real exchange rate (NATREX) model, measuring the evolution of the real exchange rate and current account in terms of economic fundamentals: productivity of capital; and social thrift in the USA and abroad. The model is t.

The Dynamics Of Emerging Stock Markets

Author : Mohamed El Hedi Arouri
ISBN : 3790823899
Genre : Business & Economics
File Size : 39. 60 MB
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Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.

Introduction Of A New Conceptual Framework For Government Debt Management

Author : Anja Hubig
ISBN : 9783658009182
Genre : Business & Economics
File Size : 24. 4 MB
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​Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition.

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