» » Stochastic Optimal Control and the U.S. Financial Debt Crisis

Download Stochastic Optimal Control and the U.S. Financial Debt Crisis fb2

by Jerome L. Stein

  • ISBN: 146143078X
  • Category: Math & Science
  • Author: Jerome L. Stein
  • Subcategory: Mathematics
  • Other formats: mbr txt mobi doc
  • Language: English
  • Publisher: Springer; 2012 edition (March 30, 2012)
  • Pages: 160 pages
  • FB2 size: 1900 kb
  • EPUB size: 1916 kb
  • Rating: 4.2
  • Votes: 173
Download Stochastic Optimal Control and the U.S. Financial Debt Crisis fb2

Stochastic Optimal Control (SOC)―a mathematical theory concerned with minimizing a cost (or maximizing a. .Jerome L. Stein has been an emeritus professor of economics at Brown University since 1993, and has served as a visiting professor of applied mathematics since 1997.

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 (SOC)-a mathematical theory concerned with minimizing a cost (or . financial debt crisis and optimal risk management.

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. Categories: Economy\Mathematical Economics.

Stochastic Optimal Control (SOC)a?a mathematical theory concerned with minimizing a cost .

Stochastic Optimal Control (SOC)a?a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic processA under uncertaintya?has proven incredibly helpful to understanding and predicting debt crises . Похожие книги: Stochastic Optimal Control, International Finance, and Debt Crises. This book is concerned with a world where the return o. т 8044. Stochastic Optimization Models in Finance 2006.

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. Stochastic Optimal Control and the .

Applicaton of Stochastic Optimal Control to Financial Market Debt Crises.

Unlike the burgeoning literature on the debt crisis, this book develops a theoretically well-based measure of optimal debt that provides a yardstick against which to compare the actual debt level. As the latter rises significantly above the benchmark, there is a growing risk that the debt has become unsustainable-a financial bubble has been generated that is increasingly likely to collapse.

This is why the techniques of stochastic optimal control and dynamic programming developed by mathematicians must be integral parts of the theoretical framework. The stochastic optimal control analysis is applied to evaluate the United States current.

Stochastic Optimal Control (SOC)-a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertain.

Keywords: stochastic optimal control, mortgage and financial crises, Ito equation, optimal dynamic risk management, warning signals of crisis, optimal leverage and debt ratios, Congressional Oversight Panel, Case-Shiller index

Keywords: stochastic optimal control, mortgage and financial crises, Ito equation, optimal dynamic risk management, warning signals of crisis, optimal leverage and debt ratios, Congressional Oversight Panel, Case-Shiller index. Stein, Jerome . A Critique of the Literature on the US Financial Debt Crisis (January 2010). CESifo Working Paper Series No. 2924. com/abstract 1545722. Stein (Contact Author). Brown University - Division of Applied Mathematics.

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.


Reviews about Stochastic Optimal Control and the U.S. Financial Debt Crisis (2):
Kendis
Peter Clark (IMF, ret.) Review of Jerome Stein's Stochastic Optimal Control and the U.S. Financial Debt Crisis
Kredit & Kapital, No. 2 2012
CATO Journal,Spring/Summer 2012.
Peter Clark, Chevy Chase, Maryland
At one point during the recent financial crisis the Queen of England reportedly
asked economists at the London School of Economics a seemingly straightforward
question: Why did academic economists fail to foresee the crisis?1 This question can be
broadened to include central banks, the IMF, and technical specialists on Wall Street
("Quants"). Professor Stein's timely book provides a cogent and convincing answer to
this question. He devotes one chapter to why the Fed and the Fund failed to anticipate the
crisis, and another chapter to the failure of the Quants and their mathematical models to
properly measure the risks associated with the new financial instruments which they had
invented. What sets the book apart from the burgeoning literature on the crisis (which
Stein draws on) is that it develops a theoretically well-based measure of optimal debt
which provides a yardstick against which to compare the actual debt level. As the latter
rises significantly above the benchmark, there is a growing risk that the debt has become
unsustainable, i.e., that a financial bubble has been generated which is increasingly likely
to collapse. Stein applies this approach to show that asset values became vastly out of line
with the fundamentals of the U.S housing market and with the balance sheet of the
insurance and financial firm, AIG. Stein's approach generates an early warning signal of
impending financial collapse which he also applies to the bubble in agricultural land
prices in the 1980s. Stein in addition provides a timely analysis of the (still ongoing in
2012) financial crisis in Europe and makes a strong case that it reflected just as much
excessive private debt as an over-indebted government sector.
Akelevar
This book by Gerome Stein is really remarkable not only for being the most recent fruit of the restless research activity of a great scholar, but also for offering a smart setup in which the post debt crises economic policy discussions should take place. On both sides of the Atlantic it seems today that the unique virtue of governments is balancing public budgets. This book suggests a rational approach to economic policy. Growth and employment are the objectives of a sensible policy, whereas government and foreign deficits must be looked at to assure sustainability over the time.

Related to Stochastic Optimal Control and the U.S. Financial Debt Crisis fb2 books: