Математические методы и моделирование в экономике
Финансово-экономические дисциплины
  • формат djvu
  • размер 3.17 МБ
  • добавлен 29 ноября 2011 г.
Dupa?ova J., Hurt J., ?tepan J. Stochastic Modeling in Economics and Finance
Sрringer, 2002. - 392 pages.

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.
Похожие разделы
Смотрите также

Anderson P.L. Business Economics and Finance with Matlab, GIS, and Simulation Models

  • формат pdf
  • размер 3.92 МБ
  • добавлен 09 января 2011 г.
Publisher: Chapman & Hall/CRC, 2004. - 504 Pages. Although there are hundreds of books about MATLAB, there are no books that fully explore its value in the field of business economics. Few books describe how geographic information can be explicitly incorporated in business decisions, or explain how sophisticated MATLAB applications can be provided to users via the Internet using a remote-hosted, thin client environment.Business, Economics an...

Bertocchi M., Consigli G. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Market Strategies

  • формат pdf
  • размер 17.79 МБ
  • добавлен 01 февраля 2012 г.
Springer – 2011, 484 pages ISBN: 1441995854 This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, induci...

Brandimarte P. Numerical Methods in Finance: A MATLAB-Based Introduction

  • формат pdf
  • размер 15.21 МБ
  • добавлен 14 декабря 2010 г.
Wiley-Interscience, 2001. - 416 pages. Balanced coverage of the methodology and theory of numerical methods in finance Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications. Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both fin...

Dubacova J. Stochastic Modeling in Economics and Finance

  • формат pdf
  • размер 9.85 МБ
  • добавлен 08 февраля 2010 г.
©2003 Kluwer Academic Publishers. Preface. Acknowledgments. Part I Fundamentals. Money, Capital, and Securities. Money and Capital. nvestment. nterest. Cash Flows. Financial and Real Investment. Securities. Financial Market. Financial Institutions. Financial System. nterest Rate. Simple and Compound Interest. Calendar Conventions. Determinants of the Interest Rate. Decomposition of the Interest Rate. Term Structure of Interest Rates. Continuous...

Jeanblanc M., Yor M., Chesney M. Mathematical Methods for Financial Markets

  • формат pdf
  • размер 7.58 МБ
  • добавлен 27 января 2011 г.
Spriger | 2009 | ISBN: 1852333766 | 732 pages Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which can be daunting for the beginning researcher. This book simultaneously introduces the financial method...

Luptacik M. Mathematical Optimization and Economic Analysis

  • формат pdf
  • размер 1.61 МБ
  • добавлен 09 января 2012 г.
Springer | 2009 | ISBN: 0387895515 | 294 pages "Mathematical Optimization and Economic Analysis" is a self-contained introduction to various optimization techniques used in economic modeling and analysis such as geometric, linear, and convex programming and data envelopment analysis. Through a systematic approach, this book demonstrates the usefulness of these mathematical tools in quantitative and qualitative economic analysis. The book present...

Nunno G.N., Oksendal B. Advanced Mathematical Methods for Finance

  • формат pdf
  • размер 3.58 МБ
  • добавлен 05 апреля 2011 г.
Giulia Di Nunno, Bernt Oksendal. Advanced Mathematical Methods for Finance. Springer, 2011. - 544 p. - ISBN: 3642184111 This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices an...

Pinsky M., Karlin S. An Introduction to Stochastic Modeling

  • формат djvu
  • размер 33.91 МБ
  • добавлен 01 января 2012 г.
ISBN-13: 9780123814166, 2011, 4th Edition. - 575 pages This text is aimed at students familiar with elementary probability theory and calculus, and bridges the gap between basic probability and an intermediate level course in stochastic processes. The objectives of the text are to introduce students to the standard concepts and methods of stochastic modeling, to illustrate the rich diversity of applications of stochastic processes in the applied...

Platen E., Heath D. A Benchmark Approach to Quantitative Finance

  • формат pdf
  • размер 11.69 МБ
  • добавлен 02 февраля 2012 г.
Springer – 2009, 702 pages ISBN: 3540262121 The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk-neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respe...

Sriboonchita S. et al Stochastic Dominance and Applications to Finance, Risk and Economics

  • формат pdf
  • размер 3.09 МБ
  • добавлен 10 января 2012 г.
Chapman & Hall, 2009. - 455 pages ISBN: 1420082663 Useful Concepts and Techniques for Economics Applications Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. The majority of the text presents a systemat...