Random Dynamical Systems in Finance

Random Dynamical Systems in Finance

by Anatoliy Swishchuk, Shafiqul Islam
Released April 2016
Publisher(s): Chapman and Hall/CRC
ISBN: 9781439867198

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Book description

With extensive end-of-chapter references, this book provides a variety of RDS for approximating financial models, presents numerous option pricing formulas for these models, and studies the stability and optimal control of RDS. Through numerous examples, the authors explain how the theory of RDS can describe the asymptotic and qualitative behavior of systems of random and stochastic differential/difference equations in terms of stability, invariant manifolds, and attractors. They also develop techniques for implementing RDS as approximations to financial models and option pricing formulas.

Table of contents

  1. Front Cover
  2. Contents (1/2)
  3. Contents (2/2)
  4. List of Figures
  5. Preface
  6. Acknowledgment
  7. Chapter 1 Introduction (1/2)
  8. Chapter 1 Introduction (2/2)
  9. Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations (1/6)
  10. Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations (2/6)
  11. Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations (3/6)
  12. Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations (4/6)
  13. Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations (5/6)
  14. Chapter 2 Deterministic Dynamical Systems andStochastic Perturbations (6/6)
  15. Chapter 3 Random Dynamical Systems and Random Maps (1/10)
  16. Chapter 3 Random Dynamical Systems and Random Maps (2/10)
  17. Chapter 3 Random Dynamical Systems and Random Maps (3/10)
  18. Chapter 3 Random Dynamical Systems and Random Maps (4/10)
  19. Chapter 3 Random Dynamical Systems and Random Maps (5/10)
  20. Chapter 3 Random Dynamical Systems and Random Maps (6/10)
  21. Chapter 3 Random Dynamical Systems and Random Maps (7/10)
  22. Chapter 3 Random Dynamical Systems and Random Maps (8/10)
  23. Chapter 3 Random Dynamical Systems and Random Maps (9/10)
  24. Chapter 3 Random Dynamical Systems and Random Maps (10/10)
  25. Chapter 4 Position Dependent Random Maps (1/10)
  26. Chapter 4 Position Dependent Random Maps (2/10)
  27. Chapter 4 Position Dependent Random Maps (3/10)
  28. Chapter 4 Position Dependent Random Maps (4/10)
  29. Chapter 4 Position Dependent Random Maps (5/10)
  30. Chapter 4 Position Dependent Random Maps (6/10)
  31. Chapter 4 Position Dependent Random Maps (7/10)
  32. Chapter 4 Position Dependent Random Maps (8/10)
  33. Chapter 4 Position Dependent Random Maps (9/10)
  34. Chapter 4 Position Dependent Random Maps (10/10)
  35. Chapter 5 Random Evolutions as Random Dynamical Systems (1/7)
  36. Chapter 5 Random Evolutions as Random Dynamical Systems (2/7)
  37. Chapter 5 Random Evolutions as Random Dynamical Systems (3/7)
  38. Chapter 5 Random Evolutions as Random Dynamical Systems (4/7)
  39. Chapter 5 Random Evolutions as Random Dynamical Systems (5/7)
  40. Chapter 5 Random Evolutions as Random Dynamical Systems (6/7)
  41. Chapter 5 Random Evolutions as Random Dynamical Systems (7/7)
  42. Chapter 6 Averaging of the Geometric Markov Renewal Processes ( GMRP) (1/4)
  43. Chapter 6 Averaging of the Geometric Markov Renewal Processes ( GMRP) (2/4)
  44. Chapter 6 Averaging of the Geometric Markov Renewal Processes ( GMRP) (3/4)
  45. Chapter 6 Averaging of the Geometric Markov Renewal Processes ( GMRP) (4/4)
  46. Chapter 7 Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas (1/5)
  47. Chapter 7 Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas (2/5)
  48. Chapter 7 Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas (3/5)
  49. Chapter 7 Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas (4/5)
  50. Chapter 7 Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas (5/5)
  51. Chapter 8 Normal Deviation of a Security Market by the Geometric Markov Renewal Processes (1/4)
  52. Chapter 8 Normal Deviation of a Security Market by the Geometric Markov Renewal Processes (2/4)
  53. Chapter 8 Normal Deviation of a Security Market by the Geometric Markov Renewal Processes (3/4)
  54. Chapter 8 Normal Deviation of a Security Market by the Geometric Markov Renewal Processes (4/4)
  55. Chapter 9 Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes (1/2)
  56. Chapter 9 Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes (2/2)
  57. Chapter 10 Stochastic Stability of Fractional RDS in Finance (1/5)
  58. Chapter 10 Stochastic Stability of Fractional RDS in Finance (2/5)
  59. Chapter 10 Stochastic Stability of Fractional RDS in Finance (3/5)
  60. Chapter 10 Stochastic Stability of Fractional RDS in Finance (4/5)
  61. Chapter 10 Stochastic Stability of Fractional RDS in Finance (5/5)
  62. Chapter 11 Stability of RDS with Jumps in Interest Rate Theory (1/4)
  63. Chapter 11 Stability of RDS with Jumps in Interest Rate Theory (2/4)
  64. Chapter 11 Stability of RDS with Jumps in Interest Rate Theory (3/4)
  65. Chapter 11 Stability of RDS with Jumps in Interest Rate Theory (4/4)
  66. Chapter 12 Stability of Delayed RDS with Jumps and Regime- Switching in Finance (1/3)
  67. Chapter 12 Stability of Delayed RDS with Jumps and Regime- Switching in Finance (2/3)
  68. Chapter 12 Stability of Delayed RDS with Jumps and Regime- Switching in Finance (3/3)
  69. Chapter 13 Optimal Control of Delayed RDS with Applications in Economics (1/3)
  70. Chapter 13 Optimal Control of Delayed RDS with Applications in Economics (2/3)
  71. Chapter 13 Optimal Control of Delayed RDS with Applications in Economics (3/3)
  72. Chapter 14 Optimal Control of Vector Delayed RDS with Applications in Finance and Economics (1/4)
  73. Chapter 14 Optimal Control of Vector Delayed RDS with Applications in Finance and Economics (2/4)
  74. Chapter 14 Optimal Control of Vector Delayed RDS with Applications in Finance and Economics (3/4)
  75. Chapter 14 Optimal Control of Vector Delayed RDS with Applications in Finance and Economics (4/4)
  76. Chapter 15 RDS in Option Pricing Theory with Delayed/ Path- Dependent Information (1/3)
  77. Chapter 15 RDS in Option Pricing Theory with Delayed/ Path- Dependent Information (2/3)
  78. Chapter 15 RDS in Option Pricing Theory with Delayed/ Path- Dependent Information (3/3)
  79. Chapter 16 Epilogue
  80. Back Cover

Product information

  • Title: Random Dynamical Systems in Finance
  • Author(s): Anatoliy Swishchuk, Shafiqul Islam
  • Release date: April 2016
  • Publisher(s): Chapman and Hall/CRC
  • ISBN: 9781439867198