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Random dynamical systems in finance /

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Bibliographic Details
Main Authors: Svishchuk, A. V. (Anatolii Vitalevich) (Author), Islam, Shafiqul (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton, FL : CRC Press, 2013.
Subjects:
Finance > Mathematical models.
Random dynamical systems.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of 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.