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基本説明
A new approach to the problem of modeling uncertainty by means of the optimization of dynamical systems.
"Wiley Finance"
Full Description
This book offers a new approach to interest rate and modeling term structure by using
models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical
simulations. It includes software that will enable readers to simulate the various models covered in the book.
Contents
On the conventional and pure - period loan structure; differential systems models for asset prices under uncertainty; a dynamical systems approach to estimating the term structure of interest rates; a bilevel perturbation model for estimating the term structure; modelling nonarbitrage and market price of risk in linear differential systems; characteristics of moments in linear dynamical systems under uncertainty with perturbations; backtesting with treasury auction data; a review of semi-infinite programming with a focus on finance. (Part contents)