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Dupacova J., Hurt J., Stepan J. — Stochastic Modeling in Economics and Finance
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Название: Stochastic Modeling in Economics and FinanceАвторы: 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: Рубрика: Математика /Вероятность /Стохастические методы в финансах /Статус предметного указателя: Готов указатель с номерами страниц ed2k: ed2k stats Год издания: 2002Количество страниц: 394Добавлена в каталог: 28.05.2005Операции: Положить на полку |
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"what if" analysis see "postoptimality analysis" 166 237 247 244 125 135 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
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