Random dynamical systems in finance
by
Svishchuk, A. V. (Anatoli? Vital?evich), author.
Title
:
Random dynamical systems in finance
Author
:
Svishchuk, A. V. (Anatoli? Vital?evich), author.
ISBN
:
9781439867198
Physical Description
:
1 online resource : text file, PDF
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.
Subject Term
:
Finance -- Mathematical models.
Random dynamical systems.
Added Author
:
Islam, Shafiqul,
Electronic Access
:
Library | Material Type | Item Barcode | Shelf Number | [[missing key: search.ChildField.HOLDING]] | Status |
---|
Online Library | E-Book | 290872-1001 | ONLINE | | Elektronik Kütüphane |