Heterogeneous Agents in Asset Pricing, Vol 1
Foundations
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Beschreibung
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.
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.
Provides a step-by-step approach to develop and solve dynamic continuous-time models in asset pricing Covers stochastic calculus, dynamic programming, representative agent models, and the finite difference method Includes MATLAB code for ease of replication
Autor*in
Hamilton Galindo Gil
Themen in »Heterogeneous Agents in Asset Pricing, Vol 1«
Heterogeneous agents Asset Pricing Numerical methods Dynamic programming General equilibrium Continuous time MATLAB