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Random Dynamical Systems in Finance

Random Dynamical Systems in Finance

Hardcover

Investing & FinanceManagementProbability & Statistics

ISBN10: 1439867186
ISBN13: 9781439867181
Publisher: CRC Press
Published: Apr 23 2013
Pages: 357
Weight: 1.40
Height: 1.00 Width: 6.30 Depth: 9.20
Language: English

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.

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