Random methods in economics and finance

Author: Maria
Publisher:
Publish Date: 2004-04-01
Features: This book is one of the series "Modern Financial Methodology." With the development of empirical research in modern economics and finance, stochastic methods, as a mathematical tool, have increasingly important application value. The book is divided into two parts. The first part introduces the basic knowledge of stochastic methods, including martingale methods, stochastic processes, optimal stopping, and establishing uncertainty models using Wiener processes. The second part introduces the specific applications of stochastic methods in economics and finance, including futures pricing, job search, random capital theory, random economic growth, rational expectations hypothesis, competition under price uncertainty, and the Black-Scholes option pricing theory. The book has a clear structure, highlights key points, and is highly practical. It can serve as a reference for teaching and research, as well as a toolbook, making it an effective guide to entering the forefront of economics and finance.