State Space Approaches For Modelling And Control In Financial Engineering

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State-Space Approaches for Modelling and Control in Financial Engineering

Gerasimos G. Rigatos
State Space Approaches for Modelling and Control in Financial Engineering Book PDF

Author : Gerasimos G. Rigatos
Publisher : Springer
Page : 310 pages
File Size : 49,5 Mb
Release : 2017-04-04
Category : Technology & Engineering
ISBN : 9783319528663

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State-Space Approaches for Modelling and Control in Financial Engineering by Gerasimos G. Rigatos Pdf

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

State-Space Models

Yong Zeng,Shu Wu
State Space Models Book PDF

Author : Yong Zeng,Shu Wu
Publisher : Springer Science & Business Media
Page : 347 pages
File Size : 40,7 Mb
Release : 2013-08-15
Category : Business & Economics
ISBN : 9781461477891

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State-Space Models by Yong Zeng,Shu Wu Pdf

State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

IEEE Technology and Engineering Management Society Body of Knowledge (TEMSBOK)

Gustavo Giannattasio,Elif Kongar,Marina Dabić,Celia Desmond,Michael Condry,Sudeendra Koushik,Roberto Saracco
IEEE Technology and Engineering Management Society Body of Knowledge TEMSBOK Book PDF

Author : Gustavo Giannattasio,Elif Kongar,Marina Dabić,Celia Desmond,Michael Condry,Sudeendra Koushik,Roberto Saracco
Publisher : John Wiley & Sons
Page : 548 pages
File Size : 51,6 Mb
Release : 2023-09-25
Category : Technology & Engineering
ISBN : 9781119987628

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IEEE Technology and Engineering Management Society Body of Knowledge (TEMSBOK) by Gustavo Giannattasio,Elif Kongar,Marina Dabić,Celia Desmond,Michael Condry,Sudeendra Koushik,Roberto Saracco Pdf

IEEE Technology and Engineering Management Society Body of Knowledge (TEMSBOK) IEEE TEMS Board of Directors-approved body of knowledge dedicated to technology and engineering management The IEEE Technology and Engineering Management Society Body of Knowledge (TEMSBOK) establishes a set of common practices for technology and engineering management, acts as a reference for entrepreneurs, establishes a basis for future official certifications, and summarizes the literature on the management field in order to publish reference documentation for new initiatives. The editors have used a template approach with authors that instructed them on how to introduce their manuscript, how to organize the technology and area fundamentals, the managing approach, techniques and benefits, realistic examples that show the application of concepts, recommended best use (focusing on how to identify the most adequate approach to typical cases), with a summary and conclusion of each section, plus a list of references for further study. The book is structured according to the following area knowledge chapters: business analysis, technology adoption, innovation, entrepreneurship, project management, digital disruption, digital transformation of industry, data science and management, and ethics and legal issues. Specific topics covered include: Market requirement analysis, business analysis for governance planning, financial analysis, evaluation and control, and risk analysis of market opportunities Leading and managing working groups, optimizing group creation and evolution, enterprise agile governance, and leading agile organizations and working groups Marketing plans for new products and services, risk analysis and challenges for entrepreneurs, and procurement and collaboration Projects, portfolios and programs, economic constraints and roles, integration management and control of change, and project plan structure The IEEE Technology and Engineering Management Society Body of Knowledge (TEMSBOK) will appeal to engineers, graduates, and professionals who wish to prepare for challenges in initiatives using new technologies, as well as managers who are responsible for conducting business involving technology and engineering.

Applied Physics, System Science and Computers II

Klimis Ntalianis,Anca Croitoru
Applied Physics System Science and Computers II Book PDF

Author : Klimis Ntalianis,Anca Croitoru
Publisher : Springer
Page : 288 pages
File Size : 51,6 Mb
Release : 2018-06-25
Category : Technology & Engineering
ISBN : 9783319756059

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Applied Physics, System Science and Computers II by Klimis Ntalianis,Anca Croitoru Pdf

This book reports on advanced theories and methods in three related fields of research: applied physics, system science and computers. It is organized in three parts, the first of which covers applied physics topics, including lasers and accelerators; condensed matter, soft matter and materials science; nanoscience and quantum engineering; atomic, molecular, optical and plasma physics; as well as nuclear and high-energy particle physics. It also addresses astrophysics, gravitation, earth and environmental science, as well as medical and biological physics. The second and third parts focus on advances in computers and system science, respectively, and report on automatic circuit control, power systems, computer communication, fluid mechanics, simulation and modeling, software engineering, data structures and applications of artificial intelligence among other areas. Offering a collection of contributions presented at the 2nd International Conference on Applied Physics, System Science and Computers (APSAC), held in Dubrovnik, Croatia on September 27–29, 2017, the book bridges the gap between applied physics and electrical engineering. It not only to presents new methods, but also promotes collaborations between different communities working on related topics at the interface between physics and engineering, with a special focus on communication, data modeling and visualization, quantum information, applied mechanics as well as bio and geophysics.

Advances in Applied Nonlinear Optimal Control

Gerasimos Rigatos,Electra Karapanou
Advances in Applied Nonlinear Optimal Control Book PDF

Author : Gerasimos Rigatos,Electra Karapanou
Publisher : Cambridge Scholars Publishing
Page : 741 pages
File Size : 48,7 Mb
Release : 2020-11-19
Category : Technology & Engineering
ISBN : 9781527562462

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Advances in Applied Nonlinear Optimal Control by Gerasimos Rigatos,Electra Karapanou Pdf

This volume discusses advances in applied nonlinear optimal control, comprising both theoretical analysis of the developed control methods and case studies about their use in robotics, mechatronics, electric power generation, power electronics, micro-electronics, biological systems, biomedical systems, financial systems and industrial production processes. The advantages of the nonlinear optimal control approaches which are developed here are that, by applying approximate linearization of the controlled systems’ state-space description, one can avoid the elaborated state variables transformations (diffeomorphisms) which are required by global linearization-based control methods. The book also applies the control input directly to the power unit of the controlled systems and not on an equivalent linearized description, thus avoiding the inverse transformations met in global linearization-based control methods and the potential appearance of singularity problems. The method adopted here also retains the known advantages of optimal control, that is, the best trade-off between accurate tracking of reference setpoints and moderate variations of the control inputs. The book’s findings on nonlinear optimal control are a substantial contribution to the areas of nonlinear control and complex dynamical systems, and will find use in several research and engineering disciplines and in practical applications.

Robotic Manipulators and Vehicles

Gerasimos Rigatos,Krishna Busawon
Robotic Manipulators and Vehicles Book PDF

Author : Gerasimos Rigatos,Krishna Busawon
Publisher : Springer
Page : 734 pages
File Size : 45,8 Mb
Release : 2018-05-24
Category : Technology & Engineering
ISBN : 9783319778518

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Robotic Manipulators and Vehicles by Gerasimos Rigatos,Krishna Busawon Pdf

This monograph addresses problems of: • nonlinear control, estimation and filtering for robotic manipulators (multi-degree-of freedom rigid-link robots, flexible-link robots, underactuated, redundant and cooperating manipulators and closed-chain robotic mechanisms); and• nonlinear control, estimation and filtering for autonomous robotic vehicles operating on the ground, in the air, and on and under water, independently and in cooperating groups. The book is a thorough treatment of the entire range of applications of robotic manipulators and autonomous vehicles. The nonlinear control and estimation methods it develops can be used generically, being suitable for a wide range of robotic systems. Such methods can improve robustness, precision and fault-tolerance in robotic manipulators and vehicles at the same time as enabling the reliable functioning of these systems under variable conditions, model uncertainty and external perturbations.

Modelling and Forecasting Financial Data

Abdol S. Soofi,Liangyue Cao
Modelling and Forecasting Financial Data Book PDF

Author : Abdol S. Soofi,Liangyue Cao
Publisher : Springer Science & Business Media
Page : 528 pages
File Size : 54,6 Mb
Release : 2002-03-31
Category : Business & Economics
ISBN : 0792376803

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Modelling and Forecasting Financial Data by Abdol S. Soofi,Liangyue Cao Pdf

Over the last decade, dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Recent developments in mathematical methods of state-space reconstruction, time-delay embedding, and surrogate data analysis, coupled with readily accessible and powerful computational facilities used in gathering and processing massive quantities of high-frequency data, have provided theorists and practitioners unparalleled opportunities for exploratory data analysis, modelling, forecasting, and control. Until now, research exploring the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems is sparse and fragmentary at best. Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters. Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

Handbook of Financial Engineering

Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos
Handbook of Financial Engineering Book PDF

Author : Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos
Publisher : Springer Science & Business Media
Page : 516 pages
File Size : 52,7 Mb
Release : 2008-08-19
Category : Business & Economics
ISBN : 0387766812

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Handbook of Financial Engineering by Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos Pdf

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Analysis of Financial Time Series

Ruey S. Tsay
Analysis of Financial Time Series Book PDF

Author : Ruey S. Tsay
Publisher : John Wiley & Sons
Page : 724 pages
File Size : 40,8 Mb
Release : 2010-08-30
Category : Mathematics
ISBN : 9780470414354

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Analysis of Financial Time Series by Ruey S. Tsay Pdf

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

Encyclopedia of Information Science and Technology, Fourth Edition

Khosrow-Pour, D.B.A., Mehdi
Encyclopedia of Information Science and Technology Fourth Edition Book PDF

Author : Khosrow-Pour, D.B.A., Mehdi
Publisher : IGI Global
Page : 8104 pages
File Size : 55,9 Mb
Release : 2017-06-20
Category : Computers
ISBN : 9781522522560

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Encyclopedia of Information Science and Technology, Fourth Edition by Khosrow-Pour, D.B.A., Mehdi Pdf

In recent years, our world has experienced a profound shift and progression in available computing and knowledge sharing innovations. These emerging advancements have developed at a rapid pace, disseminating into and affecting numerous aspects of contemporary society. This has created a pivotal need for an innovative compendium encompassing the latest trends, concepts, and issues surrounding this relevant discipline area. During the past 15 years, the Encyclopedia of Information Science and Technology has become recognized as one of the landmark sources of the latest knowledge and discoveries in this discipline. The Encyclopedia of Information Science and Technology, Fourth Edition is a 10-volume set which includes 705 original and previously unpublished research articles covering a full range of perspectives, applications, and techniques contributed by thousands of experts and researchers from around the globe. This authoritative encyclopedia is an all-encompassing, well-established reference source that is ideally designed to disseminate the most forward-thinking and diverse research findings. With critical perspectives on the impact of information science management and new technologies in modern settings, including but not limited to computer science, education, healthcare, government, engineering, business, and natural and physical sciences, it is a pivotal and relevant source of knowledge that will benefit every professional within the field of information science and technology and is an invaluable addition to every academic and corporate library.

Computational Intelligence in Time Series Forecasting

Ajoy K. Palit,Dobrivoje Popovic
Computational Intelligence in Time Series Forecasting Book PDF

Author : Ajoy K. Palit,Dobrivoje Popovic
Publisher : Springer Science & Business Media
Page : 382 pages
File Size : 45,9 Mb
Release : 2006-01-04
Category : Computers
ISBN : 9781846281846

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Computational Intelligence in Time Series Forecasting by Ajoy K. Palit,Dobrivoje Popovic Pdf

Foresight in an engineering business can make the difference between success and failure, and can be vital to the effective control of industrial systems. The authors of this book harness the power of intelligent technologies individually and in combination.

Mathematical Systems Theory in Biology, Communications, Computation and Finance

Joachim Rosenthal,David S. Gilliam
Mathematical Systems Theory in Biology Communications Computation and Finance Book PDF

Author : Joachim Rosenthal,David S. Gilliam
Publisher : Springer Science & Business Media
Page : 508 pages
File Size : 53,8 Mb
Release : 2012-12-06
Category : Science
ISBN : 9780387216966

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Mathematical Systems Theory in Biology, Communications, Computation and Finance by Joachim Rosenthal,David S. Gilliam Pdf

This volume contains survey and research articles by some of the leading researchers in mathematical systems theory - a vibrant research area in its own right. Many authors have taken special care that their articles are self-contained and accessible also to non-specialists.

Handbooks in Operations Research and Management Science: Financial Engineering

John R. Birge,Vadim Linetsky
Handbooks in Operations Research and Management Science Financial Engineering Book PDF

Author : John R. Birge,Vadim Linetsky
Publisher : Elsevier
Page : 1026 pages
File Size : 41,6 Mb
Release : 2007-11-16
Category : Business & Economics
ISBN : 0080553257

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Handbooks in Operations Research and Management Science: Financial Engineering by John R. Birge,Vadim Linetsky Pdf

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Assessment and Future Directions of Nonlinear Model Predictive Control

Rolf Findeisen,Frank Allgöwer,Lorenz Biegler
Assessment and Future Directions of Nonlinear Model Predictive Control Book PDF

Author : Rolf Findeisen,Frank Allgöwer,Lorenz Biegler
Publisher : Springer
Page : 644 pages
File Size : 46,7 Mb
Release : 2007-09-08
Category : Technology & Engineering
ISBN : 9783540726999

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Assessment and Future Directions of Nonlinear Model Predictive Control by Rolf Findeisen,Frank Allgöwer,Lorenz Biegler Pdf

Thepastthree decadeshaveseenrapiddevelopmentin the areaofmodelpred- tive control with respect to both theoretical and application aspects. Over these 30 years, model predictive control for linear systems has been widely applied, especially in the area of process control. However, today’s applications often require driving the process over a wide region and close to the boundaries of - erability, while satisfying constraints and achieving near-optimal performance. Consequently, the application of linear control methods does not always lead to satisfactory performance, and here nonlinear methods must be employed. This is one of the reasons why nonlinear model predictive control (NMPC) has - joyed signi?cant attention over the past years,with a number of recent advances on both the theoretical and application frontier. Additionally, the widespread availability and steadily increasing power of today’s computers, as well as the development of specially tailored numerical solution methods for NMPC, bring thepracticalapplicabilityofNMPCwithinreachevenforveryfastsystems.This has led to a series of new, exciting developments, along with new challenges in the area of NMPC.

Advanced Methodologies and Technologies in Business Operations and Management

Khosrow-Pour, D.B.A., Mehdi
Advanced Methodologies and Technologies in Business Operations and Management Book PDF

Author : Khosrow-Pour, D.B.A., Mehdi
Publisher : IGI Global
Page : 1482 pages
File Size : 47,8 Mb
Release : 2018-09-14
Category : Business & Economics
ISBN : 9781522573630

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Advanced Methodologies and Technologies in Business Operations and Management by Khosrow-Pour, D.B.A., Mehdi Pdf

Businesses consistently work on new projects, products, and workflows to remain competitive and successful in the modern business environment. To remain zealous, businesses must employ the most effective methods and tools in human resources, project management, and overall business plan execution as competitors work to succeed as well. Advanced Methodologies and Technologies in Business Operations and Management provides emerging research on business tools such as employee engagement, payout policies, and financial investing to promote operational success. While highlighting the challenges facing modern organizations, readers will learn how corporate social responsibility and utilizing artificial intelligence improve a company’s culture and management. This book is an ideal resource for executives and managers, researchers, accountants, and financial investors seeking current research on business operations and management.