Stochastic tools for financial economics

金融经济学的随机工具

• 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: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=524777
• 关键词: Stochastic; tools; financial; economics

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总体目标在于，尽可能精确地量化金融经济模型中额外不确定性的影响。准确地说，我将专注于来自随机视界的额外信息/不确定性。投资者受到不同类型的退出时间及其引发的风险的影响。在现实生活中，退出时间的例子数不胜数，例如死亡时间、预期或意外的退休时间、投资者被解雇的时间，或者--一般而言--投资者被迫清算资产并退出市场的任何随机时间。每个退出时间都有其特定的风险，其影响是未知的，也不知道这个随机时间本身的建模。我们的目标是分析退出时间对最优消费的影响，并得出它们在公共经济学和金融学中的应用。我的方法是基于鞅理论，也正是基于我在许多论文中与Striker一起引入和发展的一族鞅测度。为了实现这一经济目标，我将解决我的方法和拟议研究步骤提出的数学挑战和问题。我将通过这项研究在不同的概念之间建立联系(例如随机水平问题和不确定性模型)。随机视界问题有很多的应用，比如在信用风险方面，我将用新的方法来探索这些应用，并在这些领域做出贡献。