Sensitivity analysis of asset flow differential equations and volatility comparison of two related variables

Numerical Functional Analysis and Optimization

Volumn 30, Issue 1-2, 2009, Pages 82-97

  Duran, Ahmet ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Extreme value based volatility; Market dynamics; Mathematical finance and economics; Nonlinear dynamical systems; Numerical solution of differential equations; Parametric sensitivity analysis; Quantitative finance

Indexed keywords

COSTS; DYNAMICS; ECONOMICS; MARKETING; NONLINEAR ANALYSIS; NONLINEAR DYNAMICAL SYSTEMS; NONLINEAR EQUATIONS; SENSITIVITY ANALYSIS;

EXTREME VALUE-BASED VOLATILITY; MARKET DYNAMICS; MATHEMATICAL FINANCE AND ECONOMICS; NUMERICAL SOLUTION OF DIFFERENTIAL EQUATIONS; PARAMETRIC SENSITIVITY ANALYSIS; QUANTITATIVE FINANCE;

DYNAMICAL SYSTEMS;

EID: 61449174096     PISSN: 01630563     EISSN: 15322467     Source Type: Journal    
DOI: 10.1080/01630560802678598     Document Type: Article

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