State-Space Approaches for Modelling and Control in Financial Engineering

Rigatos, Gerasimos G.

ISBN 10: 3319528653 / ISBN 13: 9783319528656

Verlag: Springer International Publishing AG, 2017

Series: Intelligent Systems Reference Library. Num Pages: 312 pages, 26 black & white illustrations, 88 colour illustrations, biography. BIC Classification: GPFC; KJM; PBWR; TJF; TJFM. Category: (P) Professional & Vocational. Dimension: 235 x 155. . . 2017. Hardback. . . . . Bestandsnummer des Verkäufers V9783319528656

Inhaltsangabe:

The book conclusively solves problems associated with the control and estimation of nonlinear and chaotic dynamics in financial systems when these are described in the form of nonlinear ordinary differential equations. It then addresses problems associated with the control and estimation of financial systems governed by partial differential equations (e.g. the Black-Scholes partial differential equation (PDE) and its variants). Lastly it an offers optimal solution to the problem of statistical validation of computational models and tools used to support financial engineers in decision making.

The application of state-space models in financial engineering means that the heuristics and empirical methods currently in use in decision-making procedures for finance can be eliminated. It also allows methods of fault-free performance and optimality in the management of assets and capitals and methods assuring stability in the functioning of financial systems to be established.

Covering the following key areas of financial engineering: (i) control and stabilization of financial systems dynamics, (ii) state estimation and forecasting, and (iii) statistical validation of decision-making tools, the book can be used for teaching undergraduate or postgraduate courses in financial engineering. It is also a useful resource for the engineering and computer science community

Von der hinteren Coverseite:

The book conclusively solves problems associated with the control and estimation of nonlinear and chaotic dynamics in ?nancial systems when these are described in the form of nonlinear ordinary di?erential equations. It then addresses problems associated with the control and estimation of ?nancial systems governed by partial di?erential equations (e.g. the Black Scholes partial differential equation (PDE) and its variants). Lastly it an offers optimal solution to the problem of statistical validation of computational models and tools used to support ?nancial engineers in decision making.

The application of state-space models in ?nancial engineering means that the heuristics and empirical methods currently in use in decision-making procedures for ?nance can be eliminated. It also allows methods of fault-free performance and optimality in the management of assets and capitals and methods assuring stability in the functioning of ?nancial systems to be established.

Covering the following key areas of ?nancial engineering: (i) control and stabilization of ?nancial systems dynamics, (ii) state estimation and forecasting, and (iii) statistical validation of decision-making tools, the book can be used for teaching undergraduate or postgraduate courses in ?nancial engineering. It is also a useful resource for the engineering and computer science community

Bibliografische Details

Titel: State-Space Approaches for Modelling and ...
Verlag: Springer International Publishing AG
Erscheinungsdatum: 2017
Einband: Hardcover
Zustand: New