Random Dynamical Systems in Finance

List of contents

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.

About the author

Swishchuk, Anatoliy ; Islam, Shafiqul

Product details

• Authors: Shafiqul Islam, Anatoliy Swishchuk, Anatoliy Islam Swishchuk
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Paperback / Softback
• Released: 23.09.2019
• EAN: 9780367380144
• ISBN: 978-0-367-38014-4
• No. of pages: 357
• Subject: Social sciences, law, business > Business > General, dictionaries