Stochastic Optimal Control, and U.S. Debt Crises
by Jerome Stein
Publisher: Springer 2012
Number of pages: 180
Stochastic Optimal Control (SOC) is very helpful in understanding and predicting debt crises. The mathematical analysis is applied empirically to the financial debt crisis of 2008, the crises of the 1980s and concludes with an analysis of the European debt crisis. I use SOC to derive a theoretically founded quantitative measure of an optimal, and an excessive leverage/ debt/ risk that increases the probability of a crisis. The optimal leverage balances risk against expected growth. The environment is stochastic: the capital gain, productivity of capital and interest rate are stochastic variables, and for an insurance company, such as AIG, the claims are also stochastic. I associate the housing price bubble with the growth of household debt. A bubble is dangerous insofar as it induces a non-sustainable debt. This danger is exacerbated insofar as a complex financial system is based upon it.
Home page url
Download or read it online for free here:
(multiple PDF files)
by Tjalling C. Koopmans - John Wiley & Sons
Quantitative economic study has a threefold basis: it is necessary to formulate economic hypotheses, to collect appropriate data, and to confront hypotheses with data. The latter task, statistical inference in economics, is discussed in this book.
by Daniel McFadden, Antti Talvitie, and Associates - University of California
From the table of contents: Theory and Estimation of Behavioral Travel Demand Models; Development, Testing, and Validaton of a Work-Trip Mode-Choice Model; Modeling Choices Other than Work-Trip; Issues in Demand Modeling and Forecasting.
by Kenneth Train - Cambridge University Press
The book describes the new generation of discrete choice methods, focusing on the advances that are made possible by simulation. Researchers use these methods to examine the choices that consumers, households, firms, and other agents make.
by Kevin Sheppard
Python is a widely used general purpose programming language, which happens to be well suited to Econometrics and other more general purpose data analysis tasks. These notes provide an introduction to Python for a beginning programmer.