State-space approaches for modelling and control in financial engineering : systems theory and machine learning methods

• 作者： Rigatos, Gerasimos G., author.
• 其他作者：
  • SpringerLink (Online service)
• 其他題名：
  • Intelligent systems reference library ;
• 出版： Cham : Springer International Publishing :Imprint: Springer
• 叢書名： Intelligent systems reference library,volume 125
• 主題： Financial engineering--Mathematics. , Finance--Decision making. , Kalman filtering. , Engineering. , Computational Intelligence. , Risk Management. , Applications of Nonlinear Dynamics and Chaos Theory. , Control. , Complexity. , Electronics and Microelectronics, Instrumentation.
• ISBN： 9783319528663 (electronic bk.) 、 9783319528656 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
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• 摘要註: 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.
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