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.
General
| Imprint: |
Lap Lambert Academic Publishing
|
| Country of origin: |
Germany |
| Release date: |
June 2010 |
| First published: |
June 2010 |
| Authors: |
Catherine Swords
• John Appleby
|
| Dimensions: |
229 x 152 x 10mm (L x W x T) |
| Format: |
Paperback - Trade
|
| Pages: |
180 |
| ISBN-13: |
978-3-8383-3475-2 |
| Categories: |
Books >
Science & Mathematics >
Mathematics >
General
|
| LSN: |
3-8383-3475-2 |
| Barcode: |
9783838334752 |
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