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 : 34. 23 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 : 61. 28 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.

Mathematics Of Finance

Author : George Yin
ISBN : 9780821834121
Genre : Business & Economics
File Size : 38. 16 MB
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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 talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird (UT). Topics covered here include modeling, estimation, optimization, control, risk assessment and management, contingent claim pricing, dynamic hedging, and financial derivative design. The book is suitable for graduate students and research mathematicians interested in mathematical finance.

The Eurozone Crisis And The Future Of Europe

Author : Rajeesh Kumar
ISBN : 9781137356758
Genre : Political Science
File Size : 83. 29 MB
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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.

Australian Economic Papers

Author :
ISBN : UOM:39015079808146
Genre : Economics
File Size : 24. 92 MB
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Fundamental Determinants Of Exchange Rates

Author : Jerome L. Stein
ISBN : 9780198293064
Genre : Business & Economics
File Size : 72. 92 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 Population Dynamics In Ecology And Conservation

Author : Russell Lande
ISBN : 0198525257
Genre : Philosophy
File Size : 36. 34 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.

The Economics Of Bank Bankruptcy Law

Author : Matej Marinč
ISBN : 3642218075
Genre : Business & Economics
File Size : 77. 77 MB
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This book shows that a special bank bankruptcy regime is desirable for the efficient restructuring and/or liquidation of distressed banks. It explores in detail both the principal features of corporate bankruptcy law and the specific characteristics of banks including the importance of public confidence, negative externalities of bank failures, fragmented regulatory framework, bank opaqueness, and the related asset-substitution problem and liquidity provision. These features distinguish banks from other corporations and are largely neglected in corporate bankruptcy law. The authors, an assistant professor for money and finance and a research economist at the Dutch Central Bank, propose changes in both prudential regulation and reorganization policies that should allow regulators and banking authorities to better mitigate disruptions in the financial system and minimize the social costs of bank failures. Their recommendations are complemented by a discussion of bank failures from the 2007–2009 financial crisis.

Nonlinear Analysis Differential Equations And Control

Author : Francis Clarke
ISBN : 0792356659
Genre : Mathematics
File Size : 69. 40 MB
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Recent years have witnessed important developments in those areas of the mathematical sciences where the basic model under study is a dynamical system such as a differential equation or control process. Many of these recent advances were made possible by parallel developments in nonlinear and nonsmooth analysis. The latter subjects, in general terms, encompass differential analysis and optimization theory in the absence of traditional linearity, convexity or smoothness assumptions. In the last three decades it has become increasingly recognized that nonlinear and nonsmooth behavior is naturally present and prevalent in dynamical models, and is therefore significant theoretically. This point of view has guided us in the organizational aspects of this ASI. Our goals were twofold: We intended to achieve "cross fertilization" between mathematicians who were working in a diverse range of problem areas, but who all shared an interest in nonlinear and nonsmooth analysis. More importantly, it was our goal to expose a young international audience (mainly graduate students and recent Ph. D. 's) to these important subjects. In that regard, there were heavy pedagogical demands placed upon the twelve speakers of the ASI, in meeting the needs of such a gathering. The talks, while exposing current areas of research activity, were required to be as introductory and comprehensive as possible. It is our belief that these goals were achieved, and that these proceedings bear this out. Each of the twelve speakers presented a mini-course of four or five hours duration.

Sovereign Rating News And Financial Markets Spillovers

Author : Bertrand Candelon
ISBN : 9781455276462
Genre : Business & Economics
File Size : 28. 4 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.

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