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An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets-characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.
Finances --- Finance --- Modèles mathématiques --- Modèles économétriques --- Mathematical models --- Econometric models --- Money market. Capital market --- Modèles économétriques. --- Modèles mathématiques. --- Finance - Mathematical models --- Finance - Econometric models --- Modèles mathématiques. --- Modèles économétriques.
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Capital market --- Marché financier --- Econometric models --- Modèles économétriques --- Marché financier --- Modèles économétriques --- Econometric models.
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This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
330.115 --- Econometrie --- 330.115 Econometrie --- Econometric models --- Econometrics --- Mathematical models --- Econometric models. --- Modèles économétriques --- Business, Economy and Management --- Economics
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Public domain --- Econometrics --- Public goods --- Domaine public --- Econométrie --- Biens collectifs --- Management --- Econometric models --- Gestion --- Modèles économétriques --- Econométrie --- Modèles économétriques
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Regional economics --- Economie régionale --- Econometric models. --- Modèles économétriques --- Italy --- Economic conditions --- Econometric models --- Economie régionale --- Modèles économétriques
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Mathematical statistics --- 519.224 --- Distribution theory. Asymptotic theory. Characterization and structure theory --- 519.224 Distribution theory. Asymptotic theory. Characterization and structure theory --- Modèles économétriques --- Econometric models --- Systèmes d'aide à la décision --- Decision support systems --- Systèmes d'aide à la décision. --- Modèles économétriques.
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Water resources development --- Ressources en eau --- Congresses --- Mathematical models --- Exploitation --- Congrès --- Modèles mathématiques --- 519.86 --- 330.115 --- -Water resources development --- -Energy development --- Natural resources --- Water-supply --- Theory of economic-mathematical models --- Econometrie --- -Theory of economic-mathematical models --- 330.115 Econometrie --- 519.86 Theory of economic-mathematical models --- -330.115 Econometrie --- Congrès --- Modèles mathématiques --- Energy development --- Mathematical models&delete& --- Modèles économétriques --- Econometric models --- Modèles économétriques. --- Water resources development - Congresses --- Water resources development - Mathematical models - Congresses
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In economic situations where action entails a fixed cost, inaction is the norm. Action is taken infrequently, and adjustments are large when they occur. Interest in economic models that exhibit ''lumpy'' behavior of this kind has exploded in recent years, spurred by growing evidence that it is typical in many important economic decisions, including price setting, investment, hiring, durable goods purchases, and portfolio management. In The Economics of Inaction, leading economist Nancy Stokey shows how the tools of stochastic control can be applied to dynamic problems of decision making under uncertainty when fixed costs are present. Stokey provides a self-contained, rigorous, and clear treatment of two types of models, impulse and instantaneous control. She presents the relevant results about Brownian motion and other diffusion processes, develops methods for analyzing each type of problem, and discusses applications to price setting, investment, and durable goods purchases. This authoritative book will be essential reading for graduate students and researchers in macroeconomics.
Modèles économétriques --- Mouvement brownien --- AA / International- internationaal --- 305.970 --- 305.971 --- Econometric models --- Brownian movements --- 330.01519233 --- Capillarity --- Liquids --- Matter --- Econometrics --- Mathematical models --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Speciale gevallen in econometrische modelbouw. --- Properties --- Econometric models. --- Brownian movements. --- E-books --- Modèles économétriques. --- Mouvement brownien. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Speciale gevallen in econometrische modelbouw
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Stochastic processes --- Quantitative methods (economics) --- Econometrics --- Econometric models --- Logits --- Regression analysis --- Econométrie --- Modèles économétriques --- Analyse de régression --- Econometric models. --- Logits. --- 330.115 --- Logit transformation --- Biomathematics --- Logarithms --- Transformations (Mathematics) --- Mathematical models --- Econometrie --- 330.115 Econometrie --- Econométrie --- Modèles économétriques --- Analyse de régression --- ECONOMETRIE --- ANALYSE MULTIVARIEE --- MODELE LOGIT --- VARIABLES CATEGORIELLES
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Economic development --- Business cycles --- Macroeconomics --- Equilibrium (Economics) --- Développement économique --- Cycles économiques --- Macroéconomie --- Equilibre (Economie politique) --- Econometric models --- Problems, exercises, etc --- Mathematical models --- Modèles économétriques --- Problèmes et exercices --- Modèles mathématiques --- Développement économique --- Cycles économiques --- Macroéconomie --- Modèles économétriques --- Problèmes et exercices --- Modèles mathématiques --- Problems, exercises, etc. --- Economics
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