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Table of contents (3 chapters)
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Front Matter
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Back Matter
About this book
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.
Reviews
From the reviews:
"The monograph presents a complete overview on stochastic modeling in finance and economics. … the mathematical approach is accessible to a wide audience. … A comprehensive bibliography and index complete the book. The volume can be used in introductory graduate courses, and as a reference text for researchers in probability, statistics and operations research … ." (Emilia Di Lorenzo, Zentralblatt MATH, Vol. 1094 (20), 2006)
Authors and Affiliations
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Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Prague
Jitka Dupačová, Jan Hurt, Josef Štěpán
Bibliographic Information
Book Title: Stochastic Modeling in Economics and Finance
Authors: Jitka Dupačová, Jan Hurt, Josef Štěpán
Series Title: Applied Optimization
DOI: https://doi.org/10.1007/b101992
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media Dordrecht 2002
Hardcover ISBN: 978-1-4020-0840-5Published: 31 August 2002
Softcover ISBN: 978-1-4419-5231-8Published: 07 December 2010
eBook ISBN: 978-0-306-48167-3Published: 30 December 2005
Series ISSN: 1384-6485
Edition Number: 1
Number of Pages: XIV, 386
Topics: Optimization, Probability Theory and Stochastic Processes, Finance, general, Operations Research/Decision Theory, Accounting/Auditing