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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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Предметный указатель
Price index, Edgeworth — Marshall 70 Price index, Fisher 70 Price index, Laspeyres 69 Price index, Lowe 70 Price index, Paasche 69 Price index, Retail Price Index see "RPI" Price vector 75 Principal see "face value" see Principal components 100 Principal components, modified method of 98 Principle of optimality 121 Private investor problem 103—105 114—115 Probability arc 114 probability distribution 234 Probability distribution, binomial 57 Probability distribution, finite dimensional 234 236 Probability distribution, log-normal 42 321 Probability path 114 Probability scenario 114 Probability space complete 255 263 269 Probability transition 114 120 Probability transition, state and control dependent 120 Production planning 148—150 Profit 323 Profit, process associated with T-strategy 324 Profitability index 31 Projection theorem 309 put see "put option" Put-call parity 54 PVIFA 23 Px 68 PX 50 71 Quadratic optimization problem 91 Quantity index 68 Quartimin 100 Radon — Nikodym derivative 259 Random variable 39 Random walk hypothesis 40—41 322 Random walk hypothesis strong form 40 Random walk hypothesis weak form 40 Rate of interest see "interest rate" Rate of interest, effective 14 Rate of interest, real 17 Rate of interest, riskless 53 Rate of return 15 39 320 Rate of return, expected 39 Rate of return, internal see "IRR" Rate of return, modified see "MIRR" Rating 3 17 Real percentage increase 18 Real return 17 Rebalancing the portfolio 145 182 Recourse 111 Recourse cost 132 Recourse fixed 111 132 216 Recourse matrix 132 Recourse network 111 217 Recourse random 112 132 183 Recourse restricted 136 Recourse, relatively complete 111 132 183 216 Recourse, simple 132 144 209 Recovery rate 52 Redemption value see "face value" Reduced correlation matrix 99 Reflection principle 251 Reflexivity 73 Regression model 96—97 Regular project see "normal project" Retained earnings 7 RETURN 39—43 43 Return expected 40 43 Return process 320 Return, ex ante see "expected return" Return, ex post 40 Rho 61 Riemann integration 283 286 Risk - expected return plane 82 Risk averse 76 80 Risk aversion 76 128 Risk aversion, absolute 77 Risk aversion, constant absolute 77 Risk aversion, decreasing absolute 77 Risk aversion, increasing absolute 77 Risk aversion, Pratt — Arrow absolute risk aversion function 77 Risk aversion, relative 77 Risk credit see "default risk" Risk interest rate 16 Risk loving 77 Risk market 94 Risk maturity 16 Risk neutral 77 Risk neutral probability 57 Risk of the portfolio 80 Risk, alternative definitions of 128—131 Risk, default 16 Risk, idiosyncratic 97 Risk, quantitative measures of 43 Risk, reinvestment rate 16 Risk, specific see "unique risk" Risk, total 94 Risk, unique 94 Risk, value at see "VaR" Risk-neutral valuation 55 Riskseeking see "risk loving" robust optimization 134—135 ROR see "rate of return" RPI 68 71 S&P 500 71 Safety of funds 12 Salvage value 28 Sample information 163 Sampling methods 172—173 Sampling methods importance 174—175 Sampling methods, nonrandom 190 Sampling methods, random 224 Saving account 4 Scale parameter 44 Scenario 104 108 158 Scenario analysis 46 Scenario designed by expert 163 167—169 Scenario generation 159—164 180 187 Scenario tree 113—114 169—179 Scenario, approximation via 158—179 Scenario, conditional generation 174—175 Scenario, historical 46 163 Scenario, hypothetical 46 Scenario, independent 148 Scenario, out-of-sample 185—186 194—196 SDE see "stochastic differential equation" Security 1 3—12 Security adjustable-rate 7 Security floating-rate 6 Security market line see "SML" Security variable-rate 7 Security, financial derivative 7 Security, fixed-income 4 Security, mortgage-backed 6 Security, pass-through see "mortgage-backed security" Seller 8 9 Semimartingale 254 Semimartingale decomposition 255 Semimartingale, 254 Semimartingale, continuous 285 Semimartingale, d-dimensional 287 Semimartingale, d-dimensional Ito 294 Semimartingale, Gaussian Ito 294 Semimartingale, Ito, orthogonalization of 295 Semimartingale, positive 321 Sensitivity see "common factor" Sensitivity to estimated parameters 166 199—203 Separate Trading of Registered Interest and Principal of Securities see "STRIPS" Separation theorem 85 89 SHARE see "stock" Share, ordinary see "common stock" Sharpe — Lintner model 92—93 Sharpe's ratio 81 128 Sharpe's ratio modified 95 Sharpe's ratio, upper bound 87 Short sale 80 82 127 skewness 46 SmL 93—94 SML, beta-version 93 SML, covariance version 93 Solution, efficient 123 Solution, feasible 107 Solution, ideal 123 Specific variance see "uniqueness" Specificity see "uniqueness" Spectral decomposition 98 Split variable representation 113 SPREAD 7 Stability properties 186—187 Stage 108 109 116—117 Staircase structure 112 Standard & Poor's 3 17 68 Standard & Poor's 500 see "S&P 500" Standard deviation 43 Standard error 41 Standard score 97 Standard-deviation-expected-return plane 82 Standardized contract 8 9 Standardized return 97 Stochastic chain rule 282 285 293 295 Stochastic differential 255 Stochastic differential equation 42 162 290 Stochastic differential equation, solution to 291 Stochastic integral 277—286 277 278 285 293 367 Stochastic integral isometry 280 Stochastic integral linearity 279 Stochastic integral, 280 Stochastic integral, limit definition 284 Stochastic integral, localization lemma 279 Stochastic integral, quadratic variation 279 285 Stochastic per partes 277 286—295 287 Stochastic per partes, Lebesgue — Stieltjes 286 Stochastic process 231 Stochastic process coordinate see "canonical process" Stochastic process decreasing 232 Stochastic process equivalent 231 Stochastic process with states in E 231 Stochastic process, 252 Stochastic process, 247 Stochastic process, 247 Stochastic process, 261 277 Stochastic process, almost surely continuous 232 Stochastic process, almost surely decreasing 232 Stochastic process, bounded 252 Stochastic process, bounded continuous 261 Stochastic process, canonical 237 Stochastic process, canonical representation on C(R+) 238 Stochastic process, continuous 232 Stochastic process, continuous modification 236 Stochastic process, d-dimensional 231 Stochastic process, independent increments 238 Stochastic process, locally bounded 285 Stochastic process, orthogonal 268 Stochastic program 106 107 Stochastic program dynamic with discrete time 117 119—122 Stochastic program multistage 106 108—119 Stochastic program multistage linear with recourse 111—114 Stochastic program with probabilistic constraints 109 Stochastic program with recourse 111 Stochastic program, applications in finance 137—148 Stochastic program, general features in portfolio optimization 144—148 Stochastic program, integer 119 Stochastic program, nested two-stage 110 Stochastic program, scenario-based 131 Stochastic program, scenario-based linear 112—114 Stochastic program, scenario-based multiperiod two-stage 182—184 Stochastic program, scenario-based two-stage linear 132—133 Stochastic program, solution techniques 209—225 Stock 3 7 319 Stock Exchange 3 Stock exchange indices 68 Stock price 320 Stock, common 7 Stock, preferred 7 Stock, traded 323 Stoodley's formula 20 Stopping theorem 231 244—251 249 Strategy suicide 332 Strategy, admissible 331 338 346 Strategy, admissible up to time T 331 Strategy, consumption 323 Strategy, PC-strategy see "portfolio-consumption strategy" Strategy, portfolio-consumption 324 Strategy, self-financing 323 325 Strategy, T-strategy see "trading strategy" Strategy, TC-strategy see "trading-consumption strategy" Strategy, trading 323 324 Strategy, trading-consumption 323 324 Stress testing 46—47 Strike price 9 53 STRIPS 6 Submartingale growth 352 Submartingale, 241 Supermartingale calculus 335 Supermartingale, 241 Surplus 67 Surplus, expected 67 Swap 3 8 10—11 Swap currency 10 11 Swap interest rate 10 11 Swap, combined 11 Swap, cross-currency 11 T-bills see "Treasury bill" Terminal payoff 53 349 Terminal value see "future value" Theta 60 Time deposit 4 Top straddle 3 Tracking model 131 133—134 Trajectory 108 Transition function 119 Transitivity 73 Treasury bill 4 12 Trend 40 41 Uniformly positive definite 294 Uniqueness 98 Uniqueness theorem 328 Unit commitment problem 153—154 Unit of time 14 Up-and-in 10 Up-and-out 10 Upcrossing a level 307 Utility 73 Utility function 73 130 352 Utility function power 76 Utility function, additively separable 75 Utility function, characteristics of 74 Utility function, convex 352 Utility function, exponential 76 Utility function, HARA 77 Utility function, logaritmic 76 Utility function, multiplicatively separable 75 Utility function, ordinal 73 Utility function, quadratic 76 Utility function, separable 75 Utility theory 73 Utility theory, cardinal 73
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