Heterogeneous Agents in Asset Pricing, Vol 1

Foundations

AvHamilton Galindo Gil

Häftad, Engelska

Del 697 i serien Lecture Notes in Economics and Mathematical Systems

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Beskrivning

This textbook provides a comprehensive foundation for developing asset-pricing models with heterogeneous investors. Volume I in a two-volume set, this book covers topics such as stochastic calculus, dynamic programming, representative agent models, and a numerical method (finite difference) for solving them. The book takes a step-by-step approach, carefully show the underlying object of the models and the implementation of the finite difference method and Upwind scheme to solve dynamic programming problems in asset pricing. Where appropriate, chapters include MATLAB code for ease of replication. This book will be of interest to advanced undergraduate and graduate students of finance, economics, mathematics, and statistics.

Produktinformation

Mått:155 x 235 x undefined mm
Format:Häftad
Språk:Engelska
Serie:Lecture Notes in Economics and Mathematical Systems
Förlag:Springer International Publishing AG
ISBN:9783031932625

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Nationalekonomi inom Ekonomi och Ledarskap
Finansiering inom Ekonomi och Ledarskap

Mer om författaren

Hamilton Galindo Gil is an assistant professor in the Department of Finance and Economics at Cleveland State University (US), where he teaches courses in financial management and policies and asset pricing at the graduate level. He received a Ph.D. in Finance from Arizona State University, an M.A. in Economics from the University of the Pacific (Peru), and a B.Sc. in economics engineering from the National University of Engineering (Peru). Dr. Galindo’s research interests include macro-finance, structural estimation in corporate finance, and heterogeneous agents in asset pricing.

Innehållsförteckning

Chapter1: Stochastic Processes and Stochastic Calculus.- Chapter2: Dynamic Programming Approach in Continuous Time.- Chapter3: Martingale Approach.- Chapter4: Wealth Dynamics.- Chapter5: A General Equilibrium ModelWith 𝒌 State Variables.- Chapter6: A General Equilibrium Model with CRRA Preferences and 𝒌 State Variables.- Chapter7: A General Equilibrium Model with Log Utility Function and One State Variable.- Chapter8: Solving Numerically the HJB Equation Foundations.- Chapter9: Solving Numerically the HJB Equation Examples.