Search
Feedback
About UniCat 
Help
News
| Listing 1 - 3 of 3 |
Sort by
|
Book
ISBN: 9789086597666 Year: 2017 Publisher: Amsterdam : VU University Press,
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
This little book contains a first course in econometric theory. It is based on lectures to second-year undergraduates who have learned some calculus, matrix algebra, and statistics (but no econometrics) in their first year. Two things are essential in such a course. First, a thorough knowledge of the standard linear regression model. And second, a thorough understanding of the principles of maximum likelihood. The book is also suitable as an introduction to econometrics for Masters and PhD students. Jan R. Magnus (1948) studied econometrics and philosophy at the University of Amsterdam. He worked at the universities of Amsterdam, Leiden, and British Columbia, before moving to the London School of Economics in 1981. In 1996 he was appointed Research Professor in Econometrics at Tilburg University. In 2013, he moved to the VU University Amsterdam as Extraordinary Professor in Econometrics. Magnus is (co)author of eight books, and more than one hundred scientific papers.
Économétrie --- Analyse de régression. --- Modèles économétriques
Book
ISBN: 9780262036542 0262036541 Year: 2017 Publisher: Cambridge, Massachusettes ; London, England : The MIT Press,
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
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.
Book
ISBN: 9782807302549 2807302548 Year: 2017 Publisher: Louvain-la-Neuve De Boeck Supérieur
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Prix Nobel d’économie, Alvin Roth dévoile les règles surprenantes régissant un vaste nombre d’activités dans lesquelles l’argent ne joue pas ou peu de rôle. C’est le territoire des marchés d’appariement, où « vendeurs » et « acheteurs » doivent se choisir l’un l’autre. Dans cet ouvrage, il révèle les marchés d’appariement cachés autour de nous et nous apprend à reconnaître un bon appariement, pour faire des choix plus avisés. (source: publisher's website)
Economics --- Matching Theory --- Game theory --- Markets --- Couplage [Théorie du ] --- Econometric models --- Econometrische modellen --- Jeux [Théorie des ] --- Marchés (Commerce) --- Markten --- Matching theory --- Modèles économiques --- Modèles économétriques --- Speltheorie --- Théorie des jeux --- Théorie du couplage --- Économétrie--Modèles mathématiques --- Anecdotes
| Listing 1 - 3 of 3 |
Sort by
|