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Control and Financial Engineering
IMA Volumes in Mathematics and its Applications
The paper provides a review of the basics of financial engineering, with a few examples. We emphasize connections with control theory in a broad sense rather than with stochastic control theory in particular, and the reader is not assumed to be versed in stochastic processes. After a discussion of the main methods of financial risk management, a state-space framework for modeling financial markets is presented and used to explain crucial concepts of financial engineering such as absence ofdoi:10.1007/978-0-387-21696-6_13 fatcat:7kzh2xoxvffmjgqwi25ch47m3u