Pub. Date:
Oxford University Press
Stochastic Optimal Control, International Finance, and Debt Crises

Stochastic Optimal Control, International Finance, and Debt Crises

by Jerome L. SteinJerome L. Stein


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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)

Table of Contents

1. Optimal debt and Equilibrium Exchange Rates: An Overview
Theoretical Framework
2. Stochastic Optimal Control: Short-term Debt in Discrete Time
3. Stochastic Inter-temporal Optimization: Long-term Debt in Continuous Time
4. The NATREX Model
Evaluating Exchange Rates
5. The Euro exchange rate: An Evaluation of Research
6. The Transition Economies: A NATREX Evaluation of Research
External Debt and Exchange Rate Crises
7. Default Risk in Emerging Markets
8. Asian Crises
9. United States Current Account Deficits: A Stochastic Optimal Control Analysis

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