Random dynamical systems in finance. ([2013])

• Record Type: Book
• Further Information: Note: Anatoliy Swishchuk, Shafiqul Islam.
• Other Names: Svishchuk, A. V (Anatoliĭ Vitalʹevich); Islam, Shafiqul
• 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.
• Publisher Details: Boca Raton, FL : CRC Press
• Publication Date: 2013
• Extent: 1 online resource (xvii, 339 pages), illustrations
• Subjects: 332.01/51923; Finance -- Mathematical models; Random dynamical systems; Finance -- Mathematical models; Random dynamical systems; BUSINESS & ECONOMICS -- Finance; Finance -- Mathematical models; Random dynamical systems; Finance / Mathematical models; Random dynamical systems; Electronic books
• Languages: English
• ISBNs: 9781439867198; 1439867194
• Related ISBNs: 9781439867181; 1439867186
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.