State-space approaches for modelling and control in financial engineering : Systems theory and machine learning methods
By: Rigatos,Gerasimos G
Material type: BookPublisher: Greece ; Springer : 2017.Description: 340 p. ; 23 cm.ISBN: 9783319528656Subject(s): Financial EngineeringDDC classification: 658.15 RI ST Online resources: Location MapItem type | Home library | Call number | Status | Date due | Barcode | Item holds |
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REGULAR | University of Wollongong in Dubai Main Collection | 658.15 RI ST (Browse shelf) | Available | T0056580 |
ystems 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 inthe Black-Scholes PDE.- Kalman Filtering approach to the detection of option mispricing inelaborated PDE finance models.- Corporations' default probability forecasting using theDerivative-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 feedbackcontrol of the Black-Scholes PDE.- Stabilization of the multi-asset Black-Scholes PDE using differentialflatness theory.- Stabilization of commodities pricing PDE using differential flatnesstheory.- Stabilization of mortgage price dynamics using differential flatness theory.v>