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Stochastic Optimal Control and the U.S. Financial Debt Crisis

Jerome L. Stein
Publisher: 
Springer
Publication Date: 
2012
Number of Pages: 
157
Format: 
Hardcover
Price: 
119.00
ISBN: 
9781461430780
Category: 
Monograph
We do not plan to review this book.

Introduction/preface .- Failure of the Fed, IMF, academic profession to anticipate the crisis, disregarded warnings.- Failure of the Quants, mathematical finance models.- Philosophy of Stochastic optimal control approach, relation to M-V analysis; Sensitivity of optimal debt and risk to alternative stochastic processes, Early Warning Signals.- Application of Stochastic Optimal Control to Financial crisis 2007-08.- AIG in the crisis.- Crises in the 1980s: Agricultural, S&L.- Diversity of debt crises in Euro. 

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