Foundations Of Computational Finance With Matlab

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Foundations of Computational Finance with MATLAB

Ed McCarthy
Foundations of Computational Finance with MATLAB Book PDF

Author : Ed McCarthy
Publisher : John Wiley & Sons
Page : 375 pages
File Size : 50,5 Mb
Release : 2018-06-13
Category : Business & Economics
ISBN : 9781119433859

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Foundations of Computational Finance with MATLAB by Ed McCarthy Pdf

Graduate from Excel to MATLAB® to keep up with the evolution of finance data Foundations of Computational Finance with MATLAB® is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today’s analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset. This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB’s capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data sources, communicate graphically, and more. Master MATLAB’s basic operations including matrices, arrays, and flexible data structures Learn how to build your own customized solutions when the built-ins just won’t do Learn how to handle financial data and industry-specific variables including risk and uncertainty Adopt more accurate modeling practices for portfolios, options, time series, and more MATLAB is an integrated development environment that includes everything you need in one well-designed user interface. Available Toolboxes provide tested algorithms that save you hours of code, and the skills you learn using MATLAB make it easier to learn additional languages if you choose to do so. Financial firms are catching up to universities in MATLAB usage, so this is skill set that will follow you throughout your career. When you’re ready to step into the new age of finance, Foundations of Computational Finance with MATLAB provides the expert instruction you need to get started quickly.

Computational Finance

Francesco Cesarone
Computational Finance Book PDF

Author : Francesco Cesarone
Publisher : Routledge
Page : 236 pages
File Size : 46,5 Mb
Release : 2020-06-11
Category : Business & Economics
ISBN : 9781000168976

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Computational Finance by Francesco Cesarone Pdf

Computational finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not available. Consequently, we need to rely on computational techniques and specific numerical algorithms. This book combines theoretical concepts with practical implementation. Furthermore, the numerical solution of models is exploited, both to enhance the understanding of some mathematical and statistical notions, and to acquire sound programming skills in MATLAB®, which is useful for several other programming languages also. The material assumes the reader has a relatively limited knowledge of mathematics, probability, and statistics. Hence, the book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where the author includes an overview of recent approaches. The book gradually takes the reader from a basic to medium level of expertise by using examples and exercises to simplify the understanding of complex models in finance, giving them the ability to place financial models in a computational setting. The book is ideal for courses focusing on quantitative finance, asset management, mathematical methods for economics and finance, investment banking, and corporate finance.

Stochastic Simulation and Applications in Finance with MATLAB Programs

Huu Tue Huynh,Van Son Lai,Issouf Soumare
Stochastic Simulation and Applications in Finance with MATLAB Programs Book PDF

Author : Huu Tue Huynh,Van Son Lai,Issouf Soumare
Publisher : John Wiley & Sons
Page : 354 pages
File Size : 52,8 Mb
Release : 2011-11-21
Category : Business & Economics
ISBN : 9780470722138

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Stochastic Simulation and Applications in Finance with MATLAB Programs by Huu Tue Huynh,Van Son Lai,Issouf Soumare Pdf

Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Cornelis W Oosterlee,Lech A Grzelak
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes Book PDF

Author : Cornelis W Oosterlee,Lech A Grzelak
Publisher : World Scientific
Page : 1310 pages
File Size : 45,8 Mb
Release : 2019-10-29
Category : Business & Economics
ISBN : 9781786347961

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Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by Cornelis W Oosterlee,Lech A Grzelak Pdf

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

An Introduction to Computational Finance

™mr U?ur
An Introduction to Computational Finance Book PDF

Author : ™mr U?ur
Publisher : Imperial College Press
Page : 315 pages
File Size : 48,7 Mb
Release : 2009
Category : Mathematics
ISBN : 9781848161924

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An Introduction to Computational Finance by ™mr U?ur Pdf

Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will hopefully help readers improve their mathematical and computational backgrounds for more advanced topics.Errata(s)Errata

Recent Developments in Computational Finance

Thomas Gerstner,Peter E. Kloeden
Recent Developments in Computational Finance Book PDF

Author : Thomas Gerstner,Peter E. Kloeden
Publisher : World Scientific
Page : 481 pages
File Size : 53,7 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814436427

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Recent Developments in Computational Finance by Thomas Gerstner,Peter E. Kloeden Pdf

Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Theoretical Foundations for Quantitative Finance

Luca Spadafora,Gennady P Berman
Theoretical Foundations for Quantitative Finance Book PDF

Author : Luca Spadafora,Gennady P Berman
Publisher : World Scientific Publishing Company
Page : 224 pages
File Size : 42,8 Mb
Release : 2017-04-27
Category : Business & Economics
ISBN : 9789813202498

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Theoretical Foundations for Quantitative Finance by Luca Spadafora,Gennady P Berman Pdf

This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a deep focus on practical implications, favoring the intuition and the imagination. In addition, the new post-crisis paradigms, like multi-curves, x-value adjustments (xVA) and Counterparty Credit Risk are also discussed in a very simple framework. Finally, real world data and numerical simulations are compared in order to provide a reader with a simple and handy insight on the actual model performances. Request Inspection Copy Contents:IntroductionAll the Financial Math You Need to Survive with Interesting ApplicationsThe Pricing of Financial Derivatives — The Replica ApproachRisk-Neutral PricingThe Black and Scholes Framework and Its ExtensionRisk ModelingThe New Post-Crisis Paradigms Readership: Students and researchers in the fields of quantitative finance, risk management and stochastic analysis.

Business Economics and Finance with MATLAB, GIS, and Simulation Models

Patrick L. Anderson
Business Economics and Finance with MATLAB GIS and Simulation Models Book PDF

Author : Patrick L. Anderson
Publisher : CRC Press
Page : 499 pages
File Size : 52,8 Mb
Release : 2004-07-27
Category : Mathematics
ISBN : 9780203494653

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Business Economics and Finance with MATLAB, GIS, and Simulation Models by Patrick L. Anderson Pdf

This book takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, and evaluating markets and tax and regulatory problems. Busine

Numerical Methods in Finance

Paolo Brandimarte
Numerical Methods in Finance Book PDF

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 429 pages
File Size : 54,9 Mb
Release : 2003-10-13
Category : Mathematics
ISBN : 9780471461692

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Numerical Methods in Finance by Paolo Brandimarte Pdf

Balanced coverage of the methodology and theory of numerical methods in finance Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications. Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic and integer programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the application of all of these methodologies are also provided. The text is primarily focused on MATLAB-based application, but also includes descriptions of other readily available toolboxes that are relevant to finance. Helpful appendices on the basics of MATLAB and probability theory round out this balanced coverage. Accessible for students-yet still a useful reference for practitioners-Numerical Methods in Finance offers an expert introduction to powerful tools in finance.

Numerical Methods and Optimization in Finance

Manfred Gilli,Dietmar Maringer,Enrico Schumann
Numerical Methods and Optimization in Finance Book PDF

Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Page : 638 pages
File Size : 49,6 Mb
Release : 2019-08-30
Category : Electronic
ISBN : 9780128150658

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Numerical Methods and Optimization in Finance by Manfred Gilli,Dietmar Maringer,Enrico Schumann Pdf

Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download

Applied Computational Economics and Finance

Mario J. Miranda,Paul L. Fackler
Applied Computational Economics and Finance Book PDF

Author : Mario J. Miranda,Paul L. Fackler
Publisher : MIT Press
Page : 529 pages
File Size : 42,6 Mb
Release : 2004-08-20
Category : Business & Economics
ISBN : 9780262291750

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Applied Computational Economics and Finance by Mario J. Miranda,Paul L. Fackler Pdf

This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs. The book is divided into two parts. The first part develops basic numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization, numerical integration and differentiation, and function approximation. The second part presents methods for solving dynamic stochastic models in economics and finance, including dynamic programming, rational expectations, and arbitrage pricing models in discrete and continuous time. The book uses MATLAB to illustrate the algorithms and includes a utilities toolbox to help readers develop their own computational economics applications.

The Mathematics of Derivatives Securities with Applications in MATLAB

Mario Cerrato
The Mathematics of Derivatives Securities with Applications in MATLAB Book PDF

Author : Mario Cerrato
Publisher : John Wiley & Sons
Page : 201 pages
File Size : 50,5 Mb
Release : 2012-02-24
Category : Business & Economics
ISBN : 9781119973416

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The Mathematics of Derivatives Securities with Applications in MATLAB by Mario Cerrato Pdf

Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess the risk exposure of their investments. Therefore, this experience shows the need for better understanding of risk associate with complex financial securities in the future. The Mathematics of Derivative Securities with Applications in MATLAB provides readers with an introduction to probability theory, stochastic calculus and stochastic processes, followed by discussion on the application of that knowledge to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility and an introduction to interest rates modelling. The book begins with an overview of MATLAB and the various components that will be used alongside it throughout the textbook. Following this, the first part of the book is an in depth introduction to Probability theory, Stochastic Processes and Ito Calculus and Ito Integral. This is essential to fully understand some of the mathematical concepts used in the following part of the book. The second part focuses on financial engineering and guides the reader through the fundamental theorem of asset pricing using the Black and Scholes Economy and Formula, Options Pricing through European and American style options, summaries of Exotic Options, Stochastic Volatility Models and Interest rate Modelling. Topics covered in this part are explained using MATLAB codes showing how the theoretical models are used practically. Authored from an academic’s perspective, the book discusses complex analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. It is written to be the ideal primary reference book or a perfect companion to other related works. The book uses clear and detailed mathematical explanation accompanied by examples involving real case scenarios throughout and provides MATLAB codes for a variety of topics.

Numerical Methods in Finance and Economics

Paolo Brandimarte
Numerical Methods in Finance and Economics Book PDF

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 501 pages
File Size : 49,8 Mb
Release : 2013-06-06
Category : Mathematics
ISBN : 9781118625576

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Numerical Methods in Finance and Economics by Paolo Brandimarte Pdf

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Applied Computational Economics and Finance

Mario J. Miranda,Paul L. Fackler
Applied Computational Economics and Finance Book PDF

Author : Mario J. Miranda,Paul L. Fackler
Publisher : MIT Press
Page : 532 pages
File Size : 50,9 Mb
Release : 2002
Category : Business & Economics
ISBN : 0262633094

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Applied Computational Economics and Finance by Mario J. Miranda,Paul L. Fackler Pdf

An introduction to the use of computational methods to solve problems in economics and finance.

Statistical Methods for Financial Engineering

Bruno Remillard
Statistical Methods for Financial Engineering Book PDF

Author : Bruno Remillard
Publisher : CRC Press
Page : 496 pages
File Size : 47,6 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781439856956

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Statistical Methods for Financial Engineering by Bruno Remillard Pdf

While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f