Random Dynamical Systems in Finance

Häftad, Engelska, 2019

AvAnatoliy Swishchuk,Shafiqul Islam

1 329 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

Inbunden

3 219 kr

Skickas inom 10-15 vardagar

The theory and applications of random dynamical systems (RDS) are at the cutting edge of research in mathematics and economics, particularly in modeling the long-run evolution of economic systems subject to exogenous random shocks. Despite this interest, there are no books available that solely focus on RDS in finance and economics. Exploring this emerging area, Random Dynamical Systems in Finance shows how to model RDS in financial applications.Through numerous examples, the book explains how the theory of RDS can describe the asymptotic and qualitative behavior of systems of random and stochastic differential/difference equations in terms of stability, invariant manifolds, and attractors. The authors present many models of RDS and develop techniques for implementing RDS as approximations to financial models and option pricing formulas. For example, they approximate geometric Markov renewal processes in ergodic, merged, double-averaged, diffusion, normal deviation, and Poisson cases and apply the obtained results to option pricing formulas.With references at the end of each chapter, this book provides a variety of RDS for approximating financial models, presents numerous option pricing formulas for these models, and studies the stability and optimal control of RDS. The book is useful for researchers, academics, and graduate students in RDS and mathematical finance as well as practitioners working in the financial industry.

Produktinformation

Utgivningsdatum2019-09-23
Mått156 x 234 x 19 mm
Vikt453 g
FormatHäftad
SpråkEngelska
Antal sidor357
FörlagTaylor & Francis Ltd
ISBN9780367380144

Tillhör följande kategorier

Introduction. Deterministic Dynamical Systems and Stochastic Perturbations. Random Dynamical Systems and Random Maps. Position-Dependent Random Maps. Random Evolutions as Random Dynamical Systems. Averaging of the Geometric Markov Renewal Processes (GMRP). Diffusion Approximations of the GMRP and Option Price Formulas. Normal Deviation of a Security Market by the GMRP. Poisson Approximation of a Security Market by the GMRP. Stochastic Stability of Fractional RDS in Finance. Stability of RDS with Jumps in Interest Rate Theory. Stability of Delayed RDS with Jumps and Regime-Switching in Finance. Optimal Control of Delayed RDS with Applications in Economics. Optimal Control of Vector-Delayed RDS with Applications in Finance and Economics. RDS in Option Pricing Theory with Delayed/Path-Dependent Information. Epilogue. Index.

Mer från samma författare

Inhomogeneous Random Evolutions and Their Applications

Anatoliy Swishchuk

Häftad, 2021

1 009 kr

Stochastic Modelling of Big Data in Finance

Anatoliy Swishchuk

Inbunden, 2022

1 939 kr

Inhomogeneous Random Evolutions and Their Applications

Anatoliy Swishchuk

Inbunden, 2019

3 919 kr

Random Motions in Markov and Semi-Markov Random Environments 1

Anatoliy Pogorui, Anatoliy Swishchuk, Ramon M. Rodriguez-Dagnino

Inbunden, 2021

2 519 kr

Random Motions in Markov and Semi-Markov Random Environments 2

Anatoliy Pogorui, Anatoliy Swishchuk, Ramon M. Rodriguez-Dagnino

Inbunden, 2021

2 419 kr

Discrete-Time Semi-Markov Random Evolutions and Their Applications

Nikolaos Limnios, Anatoliy Swishchuk

Inbunden, 2023

1 719 kr

Discrete-Time Semi-Markov Random Evolutions and Their Applications

Nikolaos Limnios, Anatoliy Swishchuk

Häftad, 2024

1 719 kr

Change of Time Methods in Quantitative Finance

Anatoliy Swishchuk

Häftad, 2016

859 kr

Del 12

Delay and Stochastic Differential Equations

Elena Braverman, Anatoliy Swishchuk

Inbunden, 2026

2 569 kr

MODELING AND PRICING OF SWAPS FOR FINANCIAL AND ENERGY MARKETS WITH STOCHASTIC VOLATILITIES

Anatoliy Swishchuk

Inbunden, 2013

2 489 kr

Du kanske också är intresserad av