Stochastic Optimal Control, International Finance, and Debt Crises

by Jerome L. Stein

Overview

This book is concerned with a world where the return on capital, interest rates and exchange rates are not known with certainty. On the basis of state of the art research in applied mathematics and economics, the author derives benchmarks that are used to answer many important questions. This research develops analytical tools that can explain and evaluate trends in real exchange rates, and provide theoretically based warning signals of currency and debt crises.

Product Details

ISBN-13:	9780199280575
Publisher:	Oxford University Press
Publication date:	06/01/2006
Pages:	304
Product dimensions:	9.30(w) x 6.10(h) x 1.00(d)

About the Author

Brown University (Emeritus)

Table of Contents

PrefaceOverview1. Optimal debt and Equilibrium Exchange Rates: An OverviewTheoretical Framework2. Stochastic Optimal Control: Short-term Debt in Discrete Time3. Stochastic Inter-temporal Optimization: Long-term Debt in Continuous Time4. The NATREX ModelEvaluating Exchange Rates5. The Euro exchange rate: An Evaluation of Research6. The Transition Economies: A NATREX Evaluation of ResearchExternal Debt and Exchange Rate Crises7. Default Risk in Emerging Markets8. Asian Crises9. United States Current Account Deficits: A Stochastic Optimal Control Analysis