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Two books for Stochastic Modeling in Economics and Finance
Posted By : Alexpal | Date : 08 Jun 2022 07:28 | Comments : 10
Две книги по стохастическому моделированию применительно к экономической и финансовой сфере. Так как данная область (впрочем, как и другие :)) не застрахована от воздействия случайных и неопределенных факторов, то лучше уметь их предусмотреть :)



Stochastic Methods in Economics and Finance (Handbooks in Economics)

by A. G. Malliaris, William A. Brock








This book will almost certainly become a basic reference for academic researchers in finance. It will also find wide use as a textbook for Ph.D. students in finance and economics.



322 pages

Publisher: Elsevier Science Pub Co; 7th reprint 1999 edition (December 1, 2021)

Language: English

ISBN: 0444862013

Djvu. 4,2Mb.



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Stochastic Modeling in Economics and Finance (Applied Optimization)

by J. Dupacova, J. Hurt, J. Stepan









Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. 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. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.



392 pages

Publisher: Springer; 1 edition (August 31, 2021)

Language: English

ISBN: 1402008406

DjVu. 3,3Mb.


Posted By: scorpantar Date: 08 Jun 2022 09:19
спасибо за серьезные вещи)
Posted By: Warlog Date: 08 Jun 2022 09:29
Thank you!
Posted By: vh Date: 08 Jun 2022 13:42
а это только у меня одного они не открываются? полльзуюсь opendjvu
Posted By: vordoc Date: 08 Jun 2022 14:02
Malliaris/Brock is simply, old and very good for graduate students in Finance, but it isn't a Ph.D level. Look D. Duffie "Dynamic Asset Pricing Theory", Third Edition, if you want more.
Enjoy!
Posted By: fragen Date: 03 Jul 2022 01:06
Alex, respekt!
Posted By: Eduardo Vazquez Date: 06 Sep 2021 10:21
Thank you very much.
Posted By: Alexpal Date: 03 Sep 2021 12:47
NEW LINKS:
A.G. Malliaris, W.A. Brock, «Stochastic Methods in Economics and Finance» (7th reprint)
North Holland | ISBN 0444862013 | 1999 год | DjVu | 3,63 Mb | 322 страницы




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J. Dupacova, J. Hurt, J. Stepan, «Stochastic Modeling in Economics and Finance»
Springer | ISBN 1402008406 | 2002 Year | DjVu | 3,21 Mb | 392 Pages


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