Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic processunder 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 riskand 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. Cutting-edge interdisciplinary research in the areas of finance, economics, and applied statistics and mathematics. First comprehensive text on using stochastic optimal control to predict financial debt crises. Offers analytical tools to explain and evaluate trends in risk management, and provides theoretically-based warning signals of currency and debt crises. Shows how stochastic optimal control could have been used to mitigate collapses in various U.S. financial sectors, including housing and insurance. INDICE: Introduction/preface. Failure of the Fed, IMF, academic professionto anticipate the crisis, disregarded warnings. Failure of the Quants, mathematical finance models. Philosophy of Stochastic optimal control approach, relation to M-V analysis; Sensitivity of optimal debt and risk to alternative stochastic processes, Early Warning Signals. Application of Stochastic Optimal Control to Financial crisis 2007-08. AIG in the crisis. Crises in the 1980s: Agricultural, S&L. Diversity of debt crises in Euro. .
- ISBN: 978-1-4614-3078-0
- Editorial: Springer US
- Encuadernacion: Cartoné
- Páginas: 154
- Fecha Publicación: 30/04/2012
- Nº Volúmenes: 1
- Idioma: Inglés