State-Space Approaches for Modelling and Control in Financial Engineering

Systems theory and machine learning methods

By:

Gerasimos G. Rigatos

Format:

Paperback / softback

Series:

Intelligent Systems Reference Library

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Description

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. Coveringthe 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

Release date Australia

May 8th, 2018

Author

Gerasimos G. Rigatos

Series

Intelligent Systems Reference Library

Pages

310

Edition

Softcover reprint of the original 1st ed. 2017

Audience

Professional & Vocational

Illustrations

88 Illustrations, color; 26 Illustrations, black and white; XXVIII, 310 p. 114 illus., 88 illus. in color.

ISBN-13

9783319850047

Product ID

28342485

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