Overview
- Presents new findings useful for academic teaching and research and to develop systematic methods for management and risk minimization in financial systems
- Solves in a conclusive manner problems associated with the control and stabilization of nonlinear and chaotic dynamics in financial systems
- Contains innovative results in control and estimation problems for financial systems and for statistical validation of computational tools used for financial decision making
- Includes supplementary material: sn.pub/extras
Part of the book series: Intelligent Systems Reference Library (ISRL, volume 125)
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Table of contents (15 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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
Authors and Affiliations
Bibliographic Information
Book Title: State-Space Approaches for Modelling and Control in Financial Engineering
Book Subtitle: Systems theory and machine learning methods
Authors: Gerasimos G. Rigatos
Series Title: Intelligent Systems Reference Library
DOI: https://doi.org/10.1007/978-3-319-52866-3
Publisher: Springer Cham
eBook Packages: Engineering, Engineering (R0)
Copyright Information: Springer International Publishing AG, part of Springer Nature 2017
Hardcover ISBN: 978-3-319-52865-6Published: 13 April 2017
Softcover ISBN: 978-3-319-85004-7Published: 08 May 2018
eBook ISBN: 978-3-319-52866-3Published: 04 April 2017
Series ISSN: 1868-4394
Series E-ISSN: 1868-4408
Edition Number: 1
Number of Pages: XXVIII, 310
Number of Illustrations: 26 b/w illustrations, 88 illustrations in colour
Topics: Computational Intelligence, Risk Management, Applications of Nonlinear Dynamics and Chaos Theory, Control and Systems Theory, Complexity, Electronics and Microelectronics, Instrumentation