Stochastic Modeling in Economics and Finance - Couverture rigide

Dupacova, Jitka; Hurt, J.; Stepan, J.

Couverture rigide

ISBN 10 : 1402008406 ISBN 13 : 9781402008405

Editeur : Kluwer Academic Publishers, 2002

Synopsis

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.

Détails de l'édition

• Éditeur: Kluwer Academic Publishers
• Date d'édition: 2002
• Langue: anglais
• ISBN 10: 1402008406
• ISBN 13: 9781402008405
• Reliure: Relié
• Nombre de pages: 400
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Allemagne