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Stochastic Modeling in Economics and Finance

  • Jitka Dupačová
  • Jan Hurt
  • Josef Štěpán

Part of the Applied Optimization book series (APOP, volume 75)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Pages 1-102
  3. Back Matter
    Pages 369-386

About this book

Introduction

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.

Keywords

Arbitrage Finance Funds Martingale Stochastic Programming Stochastic calculus Stochastic model Variance calculus cash flow econometrics modeling operations research planning statistics

Authors and affiliations

  • Jitka Dupačová
    • 1
  • Jan Hurt
    • 1
  • Josef Štěpán
    • 1
  1. 1.Department of Probability and Mathematical Statistics, Faculty of Mathematics and PhysicsCharles UniversityPrague

Bibliographic information

  • DOI https://doi.org/10.1007/b101992
  • Copyright Information Kluwer Academic Publishers 2002
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4020-0840-5
  • Online ISBN 978-0-306-48167-3
  • Series Print ISSN 1384-6485
  • Buy this book on publisher's site
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