The theory and applications of random dynamical systems (RDS) are at the cutting edge of research in mathematics and economics, particularly in modeling the long-run evolution of economic systems subject to exogenous random shocks. Despite this interest, there are no books available that solely focus on RDS in finance and economics. Exploring this emerging area, Random Dynamical Systems in Finance shows how to model RDS in financial applications.
Through numerous examples, the book explains how the theory of RDS can describe the asymptotic and qualitative...
The theory and applications of random dynamical systems (RDS) are at the cutting edge of research in mathematics and economics, particularly in mod...
This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices....
This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental asp...
