000 04983nam a22006255i 4500
001 978-3-319-52866-3
003 DE-He213
005 20220801220859.0
007 cr nn 008mamaa
008 170405s2017 sz | s |||| 0|eng d
020 _a9783319528663
_9978-3-319-52866-3
024 7 _a10.1007/978-3-319-52866-3
_2doi
050 4 _aQ342
072 7 _aUYQ
_2bicssc
072 7 _aTEC009000
_2bisacsh
072 7 _aUYQ
_2thema
082 0 4 _a006.3
_223
100 1 _aRigatos, Gerasimos G.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_952885
245 1 0 _aState-Space Approaches for Modelling and Control in Financial Engineering
_h[electronic resource] :
_bSystems theory and machine learning methods /
_cby Gerasimos G. Rigatos.
250 _a1st ed. 2017.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2017.
300 _aXXVIII, 310 p. 114 illus., 88 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aIntelligent Systems Reference Library,
_x1868-4408 ;
_v125
505 0 _aSystems theory and stability concepts -- Main approaches to nonlinear control -- Main approaches to nonlinear estimation -- Linearizing control and filtering for nonlinear dynamics in financial systems -- Nonlinear optimal control and filtering for financial systems -- Kalman Filtering Approach for detection of option mispricing in the Black-Scholes PDE -- Kalman Filtering approach to the detection of option mispricing in elaborated PDE finance models -- Corporations’ default probability forecasting using the Derivative-free nonlinear Kalman Filter -- Validation of financial options models using neural networks with invariance to Fourier transform -- Statistical validation of financial forecasting tools with generalized likelihood ratio approaches -- Distributed validation of option price forecasting tools using a statistical fault diagnosis approach -- Stabilization of financial systems dynamics through feedback control of the Black-Scholes PDE -- Stabilization of the multi-asset Black-Scholes PDE using differential flatness theory -- Stabilization of commodities pricing PDE using differential flatness theory -- Stabilization of mortgage price dynamics using differential flatness theory.v></div></div>.
520 _aThe 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. Covering the 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.
650 0 _aComputational intelligence.
_97716
650 0 _aFinancial risk management.
_941918
650 0 _aNonlinear Optics.
_911414
650 0 _aControl engineering.
_931970
650 0 _aDynamics.
_952886
650 0 _aNonlinear theories.
_93339
650 0 _aElectronics.
_93425
650 1 4 _aComputational Intelligence.
_97716
650 2 4 _aRisk Management.
_94713
650 2 4 _aNonlinear Optics.
_911414
650 2 4 _aControl and Systems Theory.
_931972
650 2 4 _aApplied Dynamical Systems.
_932005
650 2 4 _aElectronics and Microelectronics, Instrumentation.
_932249
710 2 _aSpringerLink (Online service)
_952887
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9783319528656
776 0 8 _iPrinted edition:
_z9783319528670
776 0 8 _iPrinted edition:
_z9783319850047
830 0 _aIntelligent Systems Reference Library,
_x1868-4408 ;
_v125
_952888
856 4 0 _uhttps://doi.org/10.1007/978-3-319-52866-3
912 _aZDB-2-ENG
912 _aZDB-2-SXE
942 _cEBK
999 _c79041
_d79041