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Random dynamical systems in finance / Anatoliy Swishchuk, Shafiqul Islam.

By: Svishchuk, A. V. (Anatoli�i Vital�evich) [author.]Contributor(s): Islam, Shafiqul [author.]Material type: TextTextPublisher: Boca Raton, FL : CRC Press, 2013Description: 1 online resource : text file, PDFContent type: text Media type: computer Carrier type: online resourceISBN: 9781439867198 (ebook : PDF)Subject(s): Finance -- Mathematical models | Random dynamical systemsGenre/Form: Electronic books.Additional physical formats: Print version:: No titleOnline resources: Click here to access online Also available in print format.
Contents:
1. Introduction -- 2. Deterministic dynamical systems and stochastic perturbations -- 3. Random dynamical systems and random maps -- 4. Position dependent random maps -- 5. Random evolutions as random dynamical systems -- 6. Averaging of the Geometric Markov Renewal Processes (GMRP) -- 7. Diffusion approximations of the GMRP and option price formulas -- 8. Normal deviation of a security market by the GMRP -- 9. Poisson approximation of a security market by the Geometric Markov Renewal Processes -- 10. Stochastic stability of fractional RDS in finance -- 11. Stability of RDS with jumps in interest rate theory -- 12. Stability of delayed RDS with jumps and regime-switching in finance -- 13. Optimal control of delayed RDS with applications in economics -- 14. Optimal control of vector delayed RDS with applications in finance and economics -- 15. RDS in option pricing theory with delayed/path-dependent information -- 16. Epilogue.
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Includes bibliographical references and index.

1. Introduction -- 2. Deterministic dynamical systems and stochastic perturbations -- 3. Random dynamical systems and random maps -- 4. Position dependent random maps -- 5. Random evolutions as random dynamical systems -- 6. Averaging of the Geometric Markov Renewal Processes (GMRP) -- 7. Diffusion approximations of the GMRP and option price formulas -- 8. Normal deviation of a security market by the GMRP -- 9. Poisson approximation of a security market by the Geometric Markov Renewal Processes -- 10. Stochastic stability of fractional RDS in finance -- 11. Stability of RDS with jumps in interest rate theory -- 12. Stability of delayed RDS with jumps and regime-switching in finance -- 13. Optimal control of delayed RDS with applications in economics -- 14. Optimal control of vector delayed RDS with applications in finance and economics -- 15. RDS in option pricing theory with delayed/path-dependent information -- 16. Epilogue.

Also available in print format.

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