Terry Lynch

Large Fluctuations of Stochastic Differential Equations

Regime Switching and Applications to Simulation and Finance

Buch

This monograph deals with the asymptotic behaviour, and in particular the largest fluctuations, of various classes of stochastic differential equations (SDEs) and their discretisations. Equations subject to Markovian switching are also studied, allowing the drift and diffusion coefficients to switch randomly according to a Markov jump process. The assumptions are motivated by the large fluctuations experienced by financial markets which are subjected to random regime shifts. Such results are then applied to a variant of the classical Geometric Brownian Motion (GBM) market model. Moreover it is shown that discrete approximations to these equat… Mehr

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Produktdetails

Weitere Autoren: Appleby, John

ISBN: 978-3-8433-5935-1
EAN: 9783843359351
Produktnummer: 37826711
Verlag: LAP Lambert Academic Publishing
Sprache: Englisch
Erscheinungsjahr: 2010
Seitenangabe: 240 S.
Masse: H22.0 cm x B15.0 cm x D1.4 cm 375 g
Abbildungen: Paperback
Gewicht: 375

Über den Autor

Terry Lynch graduated with a PhD in Mathematics from Dublin City University after completing a first class honours degree in Financial and Actuarial Mathematics, also in DCU. John Appleby is a senior lecturer in DCU. He has more than 70 peer-reviewed papers in stochastic and deterministic dynamical systems.