rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: State-Space Approaches for Modelling and Control in Financial Engineering
    sub title: Systems theory and machine learning methods
  name:
    name part: Rigatos, Gerasimos G.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2017
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXVIII, 310 p. 114 illus., 88 illus. in color. online resource.
  abstract: 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. 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.
  table of contents: Systems 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> .
  note: by Gerasimos G. Rigatos.
  subject:
    topic: Engineering
  subject:
    topic: Risk management
  subject:
    topic: Computational intelligence
  subject:
    topic: Complexity, Computational
  subject:
    topic: Control engineering
  subject:
    topic: Electronics
  subject:
    topic: Microelectronics
  subject:
    topic: Engineering
  subject:
    topic: Computational Intelligence
  subject:
    topic: Risk Management
  subject:
    topic: Applications of Nonlinear Dynamics and Chaos Theory
  subject:
    topic: Control
  subject:
    topic: Complexity
  subject:
    topic: Electronics and Microelectronics, Instrumentation
  classification: Q342
  classification: 006.3
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Intelligent Systems Reference Library, 125
  identifier: 9783319528663
  identifier: http://dx.doi.org/10.1007/978-3-319-52866-3
  record info:
    record creation date: 170405
    record change date: 20170405130019.0
    record identifier: 978-3-319-52866-3