Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables
DOI10.1080/01630560802678598zbMath1156.91368OpenAlexW2004995780MaRDI QIDQ3615535
Publication date: 20 March 2009
Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01630560802678598
nonlinear dynamical systemsmarket dynamicsnumerical solution of differential equationsquantitative financemathematical finance and economicsparametric sensitivity analysisextreme value-based volatility
Sensitivity, stability, parametric optimization (90C31) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods for initial value problems involving ordinary differential equations (65L05) Group preferences (91B10) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Dynamical systems in optimization and economics (37N40) Numerical nonlinear stabilities in dynamical systems (65P40) Numerical solution of inverse problems involving ordinary differential equations (65L09)
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- Asset price dynamics with heterogeneous groups
- Numerical methods and software for sensitivity analysis of differential-algebraic systems
- The simultaneous solution and sensitivity analysis of systems described by ordinary differential equations
- Sensitivity analysis of ODEs and DAEs — theory and implementation guide
- Asset flow and momentum: deterministic and stochastic equations
- Overreaction diamonds: precursors and aftershocks for significant price changes
- Parameter optimization for differential equations in asset price forecasting
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