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

Catherine Swords

ISBN 10: 3838334752 / ISBN 13: 9783838334752

Verlag: LAP LAMBERT Academic Publishing, 2010

Beschreibung

nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Bestandsnummer des Verkäufers 9783838334752

Bibliografische Details

Titel: Stochatic Delay Difference and Differential ...

Verlag: LAP LAMBERT Academic Publishing

Erscheinungsdatum: 2010

Einband: Taschenbuch

Zustand: Neu

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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.