 |
|
| STOCHASTIC METHODS IN ECONOMICS AND FINANCE
| |
| | |
|
|
 To order this title, and for more information, click here
By
A.G. Malliaris, with a Foreword and Contributions by
W.A. Brock
Included in series
Advanced Textbooks in Economics, 17
Description
Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale
methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Itô's Lemma as a tool of stochastic
calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control
are discussed, and their use in economic theory and finance is illustrated with numerous applications.
The applications covered include:
futures, pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic
macroeconomic model, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio
rules, demand for index bonds, term structure of interest rates, the market risk adjustment in project valuation, demand for cash balances
and an asset pricing model.
Contents
Foreword (W.A. Brock). Results from Probability. Stochastic Calculus. Applications in Economics. Applications in Finance. Selected Bibliography.
| Bibliographic details |
Hardbound, publication date: DEC-1981
ISBN-13: 978-0-444-86201-3
ISBN-10: 0-444-86201-3
Imprint: NORTH-HOLLAND
|
| Price and Ordering |
Price:
EUR 104
GBP 68.95
USD 118
|  |
Books and book related electronic products are priced in US dollars (USD), euro (EUR), and Great Britain Pounds (GBP). USD prices apply to the Americas and Asia Pacific. EUR prices apply in Europe and the Middle East. GBP prices apply to the UK and all other countries.
|
See also information about conditions of sale & ordering procedures, and links to our regional sales offices.
|
081/860
Last update: 8 Nov 2008
|
|
| |
| | |
|
|
| |
