Stochastic tools for financial economics

金融经济学的随机工具

基本信息

批准号：
249736-2009
负责人：
Choulli, Tahir
金额：
$ 1.82万
依托单位：
University of Alberta
依托单位国家：
加拿大
项目类别：
Discovery Grants Program - Individual
财政年份：
2012
资助国家：
加拿大
起止时间：
2012-01-01 至 2013-12-31
项目状态：
已结题

来源：
https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=497407
关键词：
Stochastic tools financial economics

项目摘要

The main and general goal of my research proposal lies in quantifying, as precise as possible, the effect of additional uncertainty in a financial economic model. Precisely, I will focus on the additional information/uncertainty coming from the random horizons. An investor is subject to different kind of exit times and the risk they induce. In real life, exit time examples are numerous such as death's time, expected or unexpected retirement time, the time when the investor is fired from her job, or -general speaking- any random time when the investor is forced to liquidate her assets and quit the market. Each exit time has its specific risk, whose effect is not known nor the modeling of this random time itself. Our goal is to analyze the effect of exit time on the optimal consumption, and to draw the applications of these in Public Economic and Finance. My approach is based on the martingale theory, and precisely on the family of martingale measures that I introduced and developed with Striker in a number of papers. To achieve this economical goal, I will address the mathematical challenges and problems that are put forward by my methods and the steps of the proposed study. I will establish connection between different concepts through this study (such as random horizon problem vs uncertainty models). The problem of random horizons has many applications, such as in credit risk, and I will explore these applications and contribute in these areas using new method.

我的研究提案的主要和一般目标在于，尽可能精确地量化了金融经济模型中额外不确定性的影响。确切地说，我将重点关注来自随机视野的其他信息/不确定性。投资者受到不同类型的退出时间及其诱发的风险。在现实生活中，退出时间的例子很多，例如死亡时间，预期或意外的退休时间，投资者从工作中解雇的时间，或者 - 说话 - 任何随机的时间都被迫清算她的资产并辞去市场。每个退出时间都有其特定风险，其效果不知道，也不是对随机时间本身的建模。我们的目标是分析退出时间对最佳消费的影响，并在公共经济和金融中绘制这些应用程序的应用。我的方法基于Martingale理论，正是我在许多论文中与前锋一起介绍和制定的Martingale措施家族。为了实现这一经济目标，我将解决我的方法和拟议研究的步骤提出的数学挑战和问题。我将通过这项研究建立不同概念之间的联系（例如随机地平线问题与不确定性模型）。随机视野的问题有许多应用程序，例如在信用风险中，我将探索这些应用程序，并使用新方法在这些领域做出贡献。