Stochastic Optimal Control International Finance And Debt Crises

Author : Jerome L. Stein
Publisher : Oxford University Press, USA
ISBN 13 : 0199280576
Total Pages : 305 pages
Book Rating : 4.75/5 ( download)

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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.

Author : Jerome L. Stein
Publisher : Springer Science & Business Media
ISBN 13 : 146143078X
Total Pages : 167 pages
Book Rating : 4.80/5 ( download)

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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.

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.87/5 ( download)

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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:

Author : Wendell Helms Fleming
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.24/5 ( download)

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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:

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.36/5 ( download)

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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:

Author : Jerome L. Stein
Publisher : OUP Oxford
ISBN 13 : 0191535710
Total Pages : 304 pages
Book Rating : 4.10/5 ( download)

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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.

Author : Jerome L. Stein
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.02/5 ( download)

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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:

Author : Wendell Helms Fleming
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.97/5 ( download)

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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:

Author : Jerome L. Stein
Publisher : Springer Science & Business Media
ISBN 13 : 1461430798
Total Pages : 167 pages
Book Rating : 4.97/5 ( download)

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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.

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.46/5 ( download)

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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: