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Author:   Anatoliy Swishchuk ,  Shafiqul Islam
Publisher:   Taylor & Francis Ltd
Imprint:   Chapman & Hall/CRC
Weight:   0.453kg
ISBN:  

9780367380144

ISBN 10:   0367380145
Pages:   357
Publication Date:   23 September 2019
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table 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.

Reviews

.. . the timely publication of this book is very welcome and appreciated. There are not many books on RDS, and as far as this reviewer knows, this book is the only one that deals with the application of RDS in finance. ... There are many examples from finance, and it is very interesting to see that classical problems in finance, such as pricing European call-options, are interpreted in the viewpoint of RDS. Overall, this is a very useful book to both researchers of RDS and financial engineers ... --Mathematical Reviews, November 2014

Author Information

Swishchuk, Anatoliy ; Islam, Shafiqul

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