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

DOI10.1080/01630560802678598MaRDI QIDQ3615535zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3473616 (Why is no real title available?)
• scientific article; zbMATH DE number 824931 (Why is no real title available?)
• Asset flow and momentum: deterministic and stochastic equations
• Asset price dynamics with heterogeneous groups
• Numerical methods and software for sensitivity analysis of differential-algebraic systems
• Overreaction diamonds: precursors and aftershocks for significant price changes
• Parameter optimization for differential equations in asset price forecasting
• Sensitivity analysis of ODEs and DAEs — theory and implementation guide
• The simultaneous solution and sensitivity analysis of systems described by ordinary differential equations

Cited in

(4)

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

Describes a project that uses

Uses Software

• CVODES
• SUNDIALS
• ODESSA

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