Stochastic Optimal Control, International Finance, and Debt Crises

• Cutting edge interdisciplinary research in the areas of economics and applied mathematics
• Provides analytical tools to explain and evaluate trends in real exchange rates, and provides theoretically based warning signals of currency and debt crises
• Explanation of exchange rate crises and debt crises in Asia and Emerging market countries
• Provides an evaluation of the sustainability of US current account deficits and their effects upon the vulnerability of the economy to external shocks
• Each chapter is self-contained, allowing the reader to read the book as a whole or according to their interest

Readership: Academic economists, policy makers at Central Banks, graduate students, mathematicians concerned with applications of stochastic optimal control and economists in the financial sectors, banks and brokerage houses.

Jerome L. Stein, Emeritus Professor of Economics, Division of Applied Mathematics, Brown University

"This book makes an important contribution to the analysis of international financial problems." - Serge Rey, University of PAU and Pays de l'Adour, CATT - ECONOMIA, 2006

Preface
Overview
1: Optimal debt and Equilibrium Exchange Rates: An Overview
Theoretical Framework
2: Stochastic Optimal Control: Short-term Debt in Discrete Time
3: Stochastic Inter-temporal Optimization: Long-term Debt in Continuous Time
4: The NATREX Model
Evaluating Exchange Rates
5: The Euro exchange rate: An Evaluation of Research
6: The Transition Economies: A NATREX Evaluation of Research
External Debt and Exchange Rate Crises
7: Default Risk in Emerging Markets
8: Asian Crises
9: United States Current Account Deficits: A Stochastic Optimal Control Analysis