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Dupacova J., Hurt J., Stepan J. — Stochastic Modeling in Economics and Finance
Dupacova J., Hurt J., Stepan J. — Stochastic Modeling in Economics and Finance

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Название: Stochastic Modeling in Economics and Finance

Авторы: Dupacova J., Hurt J., Stepan J.

Аннотация:

Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. 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. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.


Язык: en

Рубрика: Математика/Вероятность/Стохастические методы в финансах/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2002

Количество страниц: 394

Добавлена в каталог: 28.05.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
"what if" analysis      see "postoptimality analysis"
$\delta$-theorem      166
$\mathcal{F}_{t}$-adapted process      237
$\mathcal{F}_{t}$-progressive set      247
$\sigma$-algebra pre-$\tau$      244
$\varepsilon$-constrained problem      125 135
AAA      4 17
Absolutely matched      64
Aggregate      69
Algorithms for stochastic programs      206—227
Algorithms for stochastic programs, decomposition      214—215
Algorithms for stochastic programs, interior-point      214
Algorithms for stochastic programs, L-shaped      215—217 219—221 225
Algorithms for stochastic programs, Lagrangian-based      217
Algorithms for stochastic programs, progressive hedging      217—218 223
Algorithms for stochastic programs, stochastic decomposition      224
Algorithms for stochastic programs, stochastic quasigradient      224
ALM model      141—144
Amex      71
Annuity      21 23
Annuity, due      23
Annuity, immediate      23
APM      96
Approximation      158—179 224—225
apt      96
Arbitrage      52—53
Arbitrage opportunity      52—53 350
Arbitrage Pricing Model      see "APM"
Arbitrage pricing theory      see "APT"
Arborescent form      113
Asset      3 64
Asset base      64
Asset commodity      8
Asset financial      1 8
Asset, real      1
Asset, riskfree      see "riskless asset"
Asset, riskless      43 82 83 88
Asset, underlying      7
Asset-specific component      see "idiosyncratic risk"
atom      104
Auction      4
Autoregressive model vector      160
Available information      159—164
Available information, low level      163 166—167
Average strike call      10
Backward recursion      110 120 121
Bankruptcy      7
Bankruptcy time      330
Barter      1
Beta books      94
Bias      69
Bill of exchange      12
Binomial lattice      see "Black — Derman — Toy model"
Binomial lattice, fitted      190 195
Binomial model      56—58
Bipolar factor      100
Black — Derman — Toy model      160—162 171 175 187 188 193
Black — Derman — Toy model calibration      188—190
Black — Scholes calculus      319—333 368
Black — Scholes formula      55—56 61 199 353
Black — Scholes formula for European call      56
Black — Scholes formula for European put      56
Black — Scholes formula, sensitivity to volatility      199—200
Black — Scholes model      41 322
Blue chip      4 70
BOND      3
Bond portfolio management problem      180—198
Bond to call      5
Bond, amortized      52
Bond, callable      5 51
Bond, convertible      11
Bond, convertible, with call option      11
Bond, convertible, with put option      11
Bond, coupon      5 48—52
Bond, dirty price of      see "value of bond"
Bond, discount      50 see
Bond, fair price of      see "value of bond"
Bond, floating—rate      6 11
Bond, full price of      see "value of bond"
Bond, gross price of      see "value of bond"
Bond, I bonds      7
Bond, inflation-indexed saving bonds      see "I bonds"
Bond, net value of      49
Bond, premium      50
Bond, pure price of      see "net value of bond"
Bond, pure value of      see "net value of bond"
Bond, putable      51
Bond, under uncertainty      51
Bond, value of      48
Bond, zero coupon      6
BONDS model      116—117 139—141 173—174
Bootstrapping      51
Bottom straddle      63
Brownian motion      231 238—244
Brownian motion, geometrical      291
Brownian representation      277 314 367
BS-model      see "Black — Scholes model"
Bullish spread      63
Butterfly spread      62 63
Buyer      8 9
Calendar convention      13 14—15
CALL      see "call option"
Call back      11
Call date      5
Call on a call or put      10
Call premium      5
Call-on-a-call      10
CAP      11
Capacity expansion      150—153
Capital      1
Capital asset pricing model      see "CAPM"
Capital market      12
Capital market line      see "CML"
Caplet      12
CAPM      92 93 96
Cash flow      1 2 21 31
Cash flow certainty equivalent      78
Cash flow net      2
Cash flow, continuous      23
Cash flow, measures of      21—38
Cauchy problem      356
CBOE      9
CBT      8
CD      see "Certificate of Deposit"
CEP      see "capacity expansion"
Certainty equivalent      77—78
Certainty equivalent, multiperiod      78
Certificate of deposit      4 12
Checking account      4
Chicago Board of Trade      see "CBT"
Chicago Board Options Exchange      see "CBOE"
Claim      339
Claim admissible valuation      339 341
Claim minimal admissible valuation      339 341
Claim minimal price      339
Claim valuation      339 340
Class I projects      31
Class II projects      31
Clearing house      8
Cluster analysis      172
CML      95
Cobb-Douglas production function      75
Communality      98
Completeness      73
Compounding      13
Compounding, continuous      13 19—20
Compounding, period of      14
Compromising model      see "tracking model"
Conditional expectation      241
Consistent family of distribution functions      236
Constraints, chance      109
Constraints, induced      109
Constraints, probabilistic      109
Consumption process      324
Contamination method      167—169 185—186 193—195
Contingent claim      see "financial derivative security"
Continuity factor      71
Continuity theorem      272 283
Continuous time market model      324
Conversion premium      11
Convex program      107
Convexity      21 30
Convexity properties      111—112
Convexity, modified      30
Correlation matrix of standardized returns      98
Cost of capital      16 21 22 31
Counterparty      3
Coupon      5 48
Coupon payment      48
Coupon rate      5 48
Covariance      237
CPI      7 68 71
Criterion for optimization, chance-constrained      129
Criterion for optimization, expected utility      130
Criterion for optimization, expected value      131
Criterion for optimization, mean-variance      127
Criterion for optimization, probability      109 129
Criterion for optimization, quantile      130
Criterion for optimization, safety-first      129
Crossover rate      33
Cubic spline      37
Currency unit      21
Curse of dimensionality      121
Daily price limit      8
Daniell — Kolmogorov Theorem      236 238
Data process      181
DAX      30 71
Debt      3
Decision rule      110 119—121
Dedicated bond portfolio      65—67
Dedicated bond portfolio, dynamic model      66—67
Dedicated bond portfolio, static model      65—66
Dedicated bond portfolio, stochastic model      105—106
Deflation      71
Delivery date      8
Delivery price      8
Delta      59
Delta hedging      59
Demand deposit      4
Density theorem      231 257—263 261 367
Derivative      see "financial derivative security"
Derivative process      300
Descendant      114
Deterministic process      317
Diffusion      41
Diffusion process      290
Discount      21
discount factor      21
Discount function      21 319
Discount process      21 319
Discounted      32
Discounted base      4
Discounted function      19
Discounted function of the Stoodley's force of interest      20
Discounted mean term of the cash flow      see "duration"
Dividend      7
Divisor      71
DJIA      70
Doleans equation      292
Dominated convergence      283 285
Doob — Meyer decomposition      231 263—269 264 287 367
Doob's inequalities      243
Dow Jones      68
Dow Jones Industrial Average      see "DJIA"
Down-and-in      10
Down-and-out      10
Drift      see "trend"
Duration      29—30 64
Duration matching      198
Duration, dollar      30 134
Duration, modified      30
Dynamic hedge      59
Dynkin arguments      235
E-process      see "stochastic process with states in E"
Economic power dispatch problem      153—154
Edmundson — Madansky bound      177—178 204—205
Efficient market      79
Elasticity      60
Elasticity of the net present value with respect to the discount factor      see "duration"
Empirical quantile      46
Equation of value      21 25
equity      see "common stock"
Equivalent      73
Errors due to estimation      195—197
EVPI      208
ex-coupon      48
ex-coupon date      48
Exercise price      11 353 see
Exercise time      353
Exercised      9 53
Expected excess return      88 90
Expected excess return, alternative form of      92
Expected return      80
Expected return on the portfolio      80
Expected utility      130—131
Expected value      39
Expected value of perfect information      see "EVPI"
Expected-return-standard-deviation plane      86
Expected-return-variance plane      86
Expiration time      see "exercise time"
Expiry date      see "maturity date"
Face value      4 5 48
Face value, total      4
Factor analysis      97—99
Factor beta      93
Factor model      97—99
Factor, common      97
Factor, loading      97
Factor, specific,      see "unique factor"
Factor, unique      97
Feasibility cut      109 215 220
Figure, black      2
Figure, bracket      2
Figure, red      2
Filtration      237
Filtration complete      231 252—257 255 263 269 300
Filtration, canonical      237 246
Filtration, P-completion      256
Filtration, right continuous      245
Financial asset      3
Financial institutions      1 2 12
Financial intermediaries      2 12
Financial market      1 12
Financial security      see "security"
Financial system      1 12
Financing the business      1
Firm-specific component      see "idiosyncratic risk"
fixed rate      7
Floating rate, long-term      7
Floating rate, short-term      7
FLOOR      12
Floorlet      12
Flower-girl problem      117—119 121—122
Force of interest      19 21 39
Force of interest, random      67
Forward      3 8
Forward contract      see "forward"
Forward price      63
Forward rate implied in the term structure for one period      18
Forward rate implied in the term structure j-period, beginning at time t + k      18
1 2 3 4
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