Download or read book Stochastic Optimal Control Modeling of Debt Crises written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Optimal Control Modeling of Debt Crises written by Jerome L. Stein and published by . This book was released on 2003 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Optimal Control and the U S Financial Debt Crisis written by Jerome L. Stein and published by Springer Science & Business Media. This book was released on 2012-03-30 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.
Download or read book Stochastic Optimal Control International Finance and Debt Crises written by Jerome L. Stein and published by Oxford University Press, USA. This book was released on 2006-04-06 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both thereturn on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions.* What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis?* What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis?* What is the interaction between an excess debt and a misaligned exchange rate?The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.
Download or read book Applicaton of Stochastic Optimal Control to Financial Market Debt Crises written by Jerome L. Stein and published by . This book was released on 2013 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal portfolio allocation and stopping rules? The uncertainty concerns the capital gain, the return on capital and the interest rate. An optimal debt ratio is derived where the drift is probabilistic but subject to economic constraints. The crises occurred because the market neglected to consider pertinent economic constraints in the dynamic stochastic optimization. The first constraint is that the firm should not be viewed in isolation. The optimizer should be the entire industry. The second economic constraint concerns the modeling of the drift of the price of the asset. The vulnerability of the borrowing firm to shocks from the capital gain, the return to capital or the interest rate, does not depend upon the actual debt/net worth per se. Instead it increases in proportion to the difference between the Actual and Optimal debt ratio, called the excess debt. A general measure of excess debt is derived and I show that it is an early warning signal of the recent crisis.
Download or read book A Tale of Two Debt Crises written by Jerome L. Stein and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Optimal Control International Finance and Debt Crises written by Jerome L. Stein and published by OUP Oxford. This book was released on 2006-04-06 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both the return on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions. * What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis? * What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis? * What is the interaction between an excess debt and a misaligned exchange rate? The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.
Download or read book Application of Stochastic Optimal Control to Financial Market Debt Crises written by Jerome L. Stein and published by . This book was released on 2009 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematics of Finance written by George Yin and published by American Mathematical Soc.. This book was released on 2004 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird. This book includes such topics as modeling, estimation, optimization, control, and risk assessment and management. It is suitable for students interested in mathematical finance.
Download or read book A Stochastic Optimal Control Formulation of the Consumption debt Decision written by and published by Bib. Orton IICA / CATIE. This book was released on with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Debt Risk and Liquidity in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2007-09-17 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions from Jerome Stein and Guay Lim, this book explores debt and liquidity in finance. In three parts it covers developing country debt and currency crises, risk, and risk management in futures markets and liquidity.
Download or read book Stochastic Optimal Control International Finance Debt written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Stochastic Optimal Control Formulation of the Risk Balancing Debt Choice Model written by Octavio Alberto Ramirez and published by . This book was released on 1990 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Control written by Chris Myers and published by BoD – Books on Demand. This book was released on 2010-08-17 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncertainty presents significant challenges in the reasoning about and controlling of complex dynamical systems. To address this challenge, numerous researchers are developing improved methods for stochastic analysis. This book presents a diverse collection of some of the latest research in this important area. In particular, this book gives an overview of some of the theoretical methods and tools for stochastic analysis, and it presents the applications of these methods to problems in systems theory, science, and economics.
Download or read book Stochastic Optimal Control International Finance and Debt written by Wendell Helms Fleming and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Optimal Control Approach to International Finance Foreign Debt written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Stochastic Optimal Control Approach to International Finance and Foreign Debt written by Wendell Helms Fleming and published by . This book was released on 1999 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
