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OverviewThe book deals with the asymptotic behaviour of stochastic difference and functional differential equations of Ito type. The equations have a form which make them suitable to model financial markets in which agents use past prices. The main results of the time sysyetms concern the almost sure largest fluctuations of the cumulative returns. These results are robust to the time-discretisation of the process and to the presence of non-linearities in the traders' demand schedules. The conditions for, and dynamics in, a market experiencing a bubble or crash are also described. Numerical methods which both minimise error and preserve the features of the underlying continuous equation are studied and the methods are simulated on computer. Full Product DetailsAuthor: Catherine Swords , Dr John Appleby , Dr John ApplebyPublisher: LAP Lambert Academic Publishing Imprint: LAP Lambert Academic Publishing Dimensions: Width: 15.20cm , Height: 1.00cm , Length: 22.90cm Weight: 0.272kg ISBN: 9783838334752ISBN 10: 3838334752 Pages: 180 Publication Date: 20 June 2010 Audience: General/trade , General Format: Paperback Publisher's Status: Active Availability: Out of print, replaced by POD  We will order this item for you from a manufatured on demand supplier. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |
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