Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables

DOI10.1080/01630560802678598zbMATH Open1156.91368OpenAlexW2004995780MaRDI QIDQ3615535FDOQ3615535

Authors: Ahmet Duran 

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

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zbMATH Keywords

nonlinear dynamical systemsnumerical solution of differential equationsquantitative financemarket dynamicsmathematical finance and economicsparametric sensitivity analysisextreme value-based volatility

Mathematics Subject Classification ID

Group preferences (91B10) Sensitivity, stability, parametric optimization (90C31) Dynamical systems in optimization and economics (37N40) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Numerical solution of inverse problems involving ordinary differential equations (65L09) Numerical nonlinear stabilities in dynamical systems (65P40)

Cites Work

• Title not available (Why is that?)
• Asset flow and momentum: deterministic and stochastic equations
• Overreaction diamonds: precursors and aftershocks for significant price changes
• Numerical methods and software for sensitivity analysis of differential-algebraic systems
• Parameter optimization for differential equations in asset price forecasting
• Asset price dynamics with heterogeneous groups
• The simultaneous solution and sensitivity analysis of systems described by ordinary differential equations
• Title not available (Why is that?)
• Sensitivity analysis of ODEs and DAEs — theory and implementation guide

Cited In (4)

• Asset flow and momentum: deterministic and stochastic equations
• Parameter optimization for differential equations in asset price forecasting
• Stability analysis of asset flow differential equations
• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm

Uses Software

• ODESSA
• SUNDIALS
• CVODES

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