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Heterogeneous agents in asset pricin...

Galindo Gil, Hamilton.

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Heterogeneous agents in asset pricing.. Vol 1,. Foundations

Record Type:	Electronic resources : Monograph/item
Title/Author:	Heterogeneous agents in asset pricing./ by Hamilton Galindo Gil.
remainder title:	Foundations
Author:	Galindo Gil, Hamilton.
Published:	Cham :Springer Nature Switzerland : : 2025.,
Description:	xix, 339 p. :ill., digital ;24 cm.
[NT 15003449]:	Chapter1: Stochastic Processes and Stochastic Calculus -- Chapter2: Dynamic Programming Approach in Continuous Time -- Chapter3: Martingale Approach -- Chapter4: Wealth Dynamics -- Chapter5: A General Equilibrium ModelWith 𝒌 State Variables -- Chapter6: A General Equilibrium Model with CRRA Preferences and 𝒌 State Variables -- Chapter7: A General Equilibrium Model with Log Utility Function and One State Variable -- Chapter8: Solving Numerically the HJB Equation Foundations -- Chapter9: Solving Numerically the HJB Equation Examples.
Contained By:	Springer Nature eBook
Subject:	Asset-backed financing. -
Online resource:	https://doi.org/10.1007/978-3-031-93263-2
ISBN:	9783031932632

Heterogeneous agents in asset pricing.. Vol 1,. Foundations
Galindo Gil, Hamilton.

Heterogeneous agents in asset pricing.Vol 1,Foundations[electronic resource] /Foundationsby Hamilton Galindo Gil. - Cham :Springer Nature Switzerland :2025. - xix, 339 p. :ill., digital ;24 cm. - Lecture notes in economics and mathematical systems,v. 6972196-9957 ;. - Lecture notes in economics and mathematical systems ;v. 697..

Chapter1: Stochastic Processes and Stochastic Calculus -- Chapter2: Dynamic Programming Approach in Continuous Time -- Chapter3: Martingale Approach -- Chapter4: Wealth Dynamics -- Chapter5: A General Equilibrium ModelWith �� State Variables -- Chapter6: A General Equilibrium Model with CRRA Preferences and �� State Variables -- Chapter7: A General Equilibrium Model with Log Utility Function and One State Variable -- Chapter8: Solving Numerically the HJB Equation Foundations -- Chapter9: Solving Numerically the HJB Equation Examples.

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.

ISBN: 9783031932632

Standard No.: 10.1007/978-3-031-93263-2doiSubjects--Topical Terms:

654878
Asset-backed financing.

LC Class. No.: HG4028.A84

Dewey Class. No.: 658.15224

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300 $a xix, 339 p. : $b ill., digital ; $c 24 cm.
490 1 $a Lecture notes in economics and mathematical systems, $x 2196-9957 ; $v v. 697
505 0 $a Chapter1: Stochastic Processes and Stochastic Calculus -- Chapter2: Dynamic Programming Approach in Continuous Time -- Chapter3: Martingale Approach -- Chapter4: Wealth Dynamics -- Chapter5: A General Equilibrium ModelWith 𝒌 State Variables -- Chapter6: A General Equilibrium Model with CRRA Preferences and 𝒌 State Variables -- Chapter7: A General Equilibrium Model with Log Utility Function and One State Variable -- Chapter8: Solving Numerically the HJB Equation Foundations -- Chapter9: Solving Numerically the HJB Equation Examples.
520 $a 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.
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