Abstract
In recent years, economic modelling has seen a significant shift from deterministic models to stochastic ones. Because of the prevalence of imperfect information and rational expectations, bounded and unbounded stochastic models now play an important role in both micro- and macro-economics, as well as the full ambit of financial models. This chapter illustrates how Mathematica can be used to model and simulate a variety of stochastic problems. Particular attention is focused upon exchange rate target zones and the theory of irreversible investment under uncertainty.
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References
Dixit, Avinash (1992), “Investment and Hysteresis”, Journal of Economic Perspectives, Volume 6, No.1, Winter 1992,107–132.
Krugman, Paul (1991), “Target Zones and Exchange Rate Dynamics”, The Quarterly Journal of Economics, August 1991, 669–682.
Pindyck, Robert (1991), “Irreversibility, Uncertainty, and Investment”, journal of Economic Literature, September 1991, 1110–1148.
Svensson, Lars (1993), “Recent Research on Exchange Rate Target Zones: an interpretation”, Journal of Economic Perspectives, forthcoming.
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© 1993 Springer Science+Business Media New York
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Rose, C. (1993). Bounded & Unbounded Stochastic Processes. In: Varian, H.R. (eds) Economic and Financial Modeling with Mathematica®. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-2281-9_11
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DOI: https://doi.org/10.1007/978-1-4757-2281-9_11
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4757-2283-3
Online ISBN: 978-1-4757-2281-9
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