Books on the topic 'One-factor interest rate models'

The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, the book is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but the mathematical theory is also always supplemented with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Björk has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. There is also an entirely new part of the book presenting dynamic equilibrium theory. This includes several chapters on unit net supply endowments models, and the Cox–Ingersoll–Ross equilibrium factor model (including the CIR equilibrium interest rate model). Providing two full treatments of arbitrage theory—the classical delta hedging approach and the modern martingale approach—the book is written in such a way that these approaches can be studied independently of each other, thus providing the less mathematically oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action.

The life-cycle model yields a number of important empirical predictions about consumption and saving behavior. First, the growth rate of consumption depends on the difference between the expected real interest rate and the rate of time preference and varies with the elasticity of intertemporal substitution. Second, individuals seek to smooth the marginal utility of consumption over time. Third, young consumers should be accumulating resources for retirement, and hence have an adequate level of wealth at retirement. Finally, the elderly should be decumulating resources. To test these predictions, one can draw on a vast array of data on interest rates, consumption, income, and wealth. Some come from time series and national accounts, others from cross-sectional or longitudinal surveys of households. This chapter introduces stylized facts that emerge from a first examination of such data, pointing out the merits but also the drawbacks of the available sources.

The chapter describes the historical process as well as the analytical and empirical factors that, at the end of the twentieth century, led to the dominance, in advanced economies, of a central bank model based on an independent institution devoted to price stability as its overriding objective. The central bank pre-crisis model was elegant, performing, and efficient. However, it could not easily accommodate the pursuit of a traditionally important central bank objective: financial stability. Indeed, since central banks have, in essence, just one tool, that is, the interest rate, the pursuit of a financial stability objective in addition to a price stability objective could create dilemma situations. In the two decades between the mid-1980s and the mid-2000s, the economies of advanced economies were very stable, and this period was thus identified as Great Moderation. However, subsequent experience showed that, in this period, the crisis was incubating.

Brazil is one of the most important but puzzling countries in the world. A nation of 200 million people, it has vast natural resource reserves, rich cultural traditions, a middle class undergoing explosive growth, and social welfare policies that are models for much of the world (‘la bolsa familia,’ which provides a guaranteed income to poor families). And, after decades of authoritarian rule, it is a stable democracy. Yet it is beset by problems that no other advanced economy suffers from: staggeringly high crime rates, sky-high inequality levels, and endemic political corruption. Emblematic of these two sides of Brazil is the selection of Rio as site of both the next Summer Olympics and the next World Cup. While the choice of Rio for these events points to Brazil’s expanding presence on the world stage, so far the construction and planning for the events have been disastrous, threatening to deeply embarrass the nation. In Brazil: What Everyone Needs to Know, Riordan Roett, an eminent scholar of Brazil and Latin America, will provide a rich overview of Brazil, covering Brazilian society, politics, culture, and the economy. The book begins with a series of chapters on Brazilian history, beginning with the pre-colonial period and moving on, in succession, to the long era of Portuguese rule, the birth of independent Brazil, the emergence of modern Brazil in the 1930s, the era of the dictators, and - finally - to the democratic regime that came into being in the 1980s. Throughout the book, Roett will focus sharply on the fault lines -- racial, economic, political, and cultural - that have plagued Brazil from its beginnings to this day. As the 2016 World Cup and Summer Olympics approach, interest in Brazil is sure to rise. Roett’s synthesis will provide interested readers with an accessible, authoritative overview of this troubled yet fascinating giant.

The central aim of this book is to explore the ways in which social categories—especially gender, but also categories like race and religion—interact with and contribute to social solutions to problems of coordination and resource division. In particular, this book uses formal frameworks—game theory and evolutionary game theory—to explore the cultural evolution of conventions that piggyback on seemingly irrelevant factors like gender and race. As I argue, these frameworks elucidate a variety of topics. In particular, these frameworks help show how inequity can emerge from simple processes of cultural change. In groups with gender and racial categories, the process of learning conventions of coordination and resource division is such that under a wide array of situations some groups will tend to get more and others less. One theme that runs throughout the book is that surprisingly minimal conditions are needed to robustly produce phenomena related to inequity that we usually think of as psychologically complex. It takes very little to generate a situation in which social categories (like gender) are almost guaranteed to emerge. The preconditions under which models move toward outcomes that look like discrimination are, again, very minimal. Once inequity emerges in these models, it takes very little for it to persist indefinitely. Thus, we need to think of inequity as part of an ever-evolving process. It is not something we can expect to fix and be done with. Along these lines, the picture I present is ultimately one where those concerned with social justice must remain vigilant against the dynamic forces that push toward inequity.

One aspect of women’s professional experience in the field of international studies is that of teaching. Women’s experience in the gendered classroom has been shaped by three general factors: their identity, their interests, and the institutions in which they work. Major dimensions of identity can be grouped into: identity as reputation; identity as race and sex; and identity as role models and mentors. Meanwhile, women’s teaching is clearly affected by their scholarly interests, which impact on both the subjects they choose to teach and their pedagogical approaches. While it would not be surprising to find that women teachers tend to teach more about women and feminism, a major survey of International Relations (IR) faculty in the United States found other significant differences between women and men in the classroom, often linked to women’s differing research interests. Women’s teaching is also impacted by the institutional environment in which they work. Surveys and studies across the academic spectrum confirm the importance not only of gender equity at institutions, but also the presence of an institutional climate, or culture, that is friendly to women faculty. Major elements that affect the institutional environment include the number of faculty women (including senior women); the type of institution (its focus on research or teaching); and the ability to offer feminist and gender courses, and related pedagogies.

Between the Harlem Renaissance and the end of World War II, a discourse that privileged a representative ideal of brown beauty womanhood emerged as one expression of race, class, and women’s status in the modern nation. This discourse on brown beauty accrued great cultural currency across the interwar years as it appeared in diverse and multiple forms. Studying artwork and photography; commercial and consumer-oriented advertising; and literature, poetry, and sociological works, this book analyzes African American print culture with a central interest in women’s social history. It explores the diffuse ways that brownness impinged on socially mobile New Negro women in the urban environment during the interwar years and shows how the discourse was constructed as a self-regulating guide directed at an aspiring middle class. By tracing brown’s changing meanings and showing how a visual language of brown grew into a dynamic racial shorthand used to denote modern African American womanhood, Brown Beauty works to unpack a set of intertwined values and judgments, compromises and contradictions, adjustments and resistances, that were fused into social valuations of women.

In this study, several aspects of Saxion spin-offs have been analysed, the numbers, workplaces, location, migration, gender issues, different economic sectors and survival rates. The main question underlying all these analyses was what the impact of Saxion as university of applied sciences is on the regional economy of the two regions in which it is located. From the literature, the concept of an entrepreneurial ecosystem, as explanatory factor for the observations that in certain regions more graduates or staff members start their own business and that such an ecosystem helps small fledgling businesses to survive and grow is an interesting concept. Unfortunately, the theoretical foundations are still not fully crystallized, therefore measuring the actual influence of such entrepreneurial ecosystems is still a difficult exercise. In this study, Saxion spin-offs from two regions, Twente and the Cleantech Region, have been analysed, and several differences in terms of number of spin-offs, employment, migration patterns and survival rates have been identified. Since the spin-offs are from the same university of applied sciences, with the same policy regarding support of entrepreneurship and both regions are located outside of the economic core regions of the country, it appears as if the strength of the regional context, the regional entrepreneurial ecosystem and the business opportunities it provides is a factor in explaining why there are more spin-offs in Twente (even when controlling for the larger size of the Saxion campus in this region). If one assumes that the strength of the entrepreneurial ecosystem is stronger in Twente (among others because of existing business networks, the availability of a world class research university, the University of Twente and a business support organization like Novel-T), it would explain why spin-offs located in this region on average offer more workplaces, and have a higher survival rate than in the Cleantech Region. Gender differences related to entrepreneurship are present in Saxion spin-offs, female graduates and staff members are much less likely to start a spin-off company than their male counterparts. When females do start, their spin-offs are on average much smaller in terms of workplaces offered. Their businesses have on average an equal survival rate than those started by a male entrepreneur. Findings from the literature on the subject and the numbers found in this study suggest that there is a need for specific programs in Saxion targeting females, to at least think about starting their own business. Also, specific mentoring programs for spin-offs with female entrepreneurs may help to let these businesses grow and increase their regional economic impact. Saxion spin-offs can be found in many different sectors, something understandable given the broad spectrum of study programs in Saxion. Even though most spin-offs remain micro sized businesses, certain economic sectors seem to offer better scalable business models, especially in sectors such as industry, information and communication technology businesses and business support services. The number as well as employment in the more innovative and internationally competitive topsectors is much higher in the region Twente than in the Cleantech Region, possibly another consequence of the – apparently – stronger regional entrepreneurial ecosystem in Twente. An often-stated argument for regional economic development is that investing in spin-off companies will help to create workplaces in the region, since companies are not very likely to move. In this study, the data on migration of spin-offs have been compared with the migration of graduates, based on the HBO-monitor survey. It is not possible to one-on-one compare the two datasets, as the migration of spin-offs is calculated for the first five years of their existence and the HBO-monitor is held around one and a half year after graduation. Still, w