State-Space Approaches for Modelling and Control in Financial Engineering

Systems theory and machine learning methods

  • Gerasimos G. Rigatos

Part of the Intelligent Systems Reference Library book series (ISRL, volume 125)

Table of contents

  1. Front Matter
    Pages i-xxviii
  2. Gerasimos G. Rigatos
    Pages 1-26
  3. Gerasimos G. Rigatos
    Pages 27-46
  4. Gerasimos G. Rigatos
    Pages 47-84
  5. Back Matter
    Pages 295-310

About this book

Introduction

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

Keywords

Intelligent Systems Financial Systems Dynamics Systems Theory Machine Learning Stability Concepts Nonlinear Control Nonlinear Estimation Nonlinear Optimal Control Nonlinear Kalman Filtering Detection of Option Mispricing

Authors and affiliations

  • Gerasimos G. Rigatos
    • 1
  1. 1.Unit of Industrial AutomationIndustrial Systems Institute Unit of Industrial AutomationRion PatrasGreece

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-52866-3
  • Copyright Information Springer International Publishing AG 2017
  • Publisher Name Springer, Cham
  • eBook Packages Engineering
  • Print ISBN 978-3-319-52865-6
  • Online ISBN 978-3-319-52866-3
  • Series Print ISSN 1868-4394
  • Series Online ISSN 1868-4408
  • About this book