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

Catherine Swords (u. a.)

ISBN 10: 3838334752 / ISBN 13: 9783838334752

Editore: LAP LAMBERT Academic Publishing, 2009

Stochatic Delay Difference and Differential Equations. | Stochatic Delay Difference and Differential Equations: Applications to Financial Markets | Catherine Swords (u. a.) | Taschenbuch | 180 S. | Englisch | 2009 | LAP LAMBERT Academic Publishing | EAN 9783838334752 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Codice articolo 101369957

Riassunto:

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.

Dati bibliografici

Titolo: Stochatic Delay Difference and Differential ...
Casa editrice: LAP LAMBERT Academic Publishing
Data di pubblicazione: 2009
Legatura: Taschenbuch
Condizione: Neu