Random dynamical systems in finance /
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Main Authors: | , |
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Corporate Author: | |
Format: | Electronic eBook |
Language: | English |
Published: |
Boca Raton, FL :
CRC Press,
2013.
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Subjects: | |
Online Access: |
Full text (WIT users only) |
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.