Stochatic Delay Difference and Differential Equations.: Stochatic Delay Difference and Differential Equations: Applications to Financial Markets - Softcover

Swords, Catherine; John, Dr.

 
9783838334752: Stochatic Delay Difference and Differential Equations.: Stochatic Delay Difference and Differential Equations: Applications to Financial Markets
Softcover
ISBN 10: 3838334752 ISBN 13: 9783838334752
Verlag: LAP Lambert Academic Publishing, 2010

Inhaltsangabe

The 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.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Reseña del editor

The 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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
LAP Lambert Academic Publishing
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3838334752
ISBN 13 
9783838334752
Einband
Tapa blanda
Anzahl der Seiten
180
Kontakt zum Hersteller
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Verantwortliche Person
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