Handbook Of Computational And Numerical Methods In Finance

Author : Svetlozar T. Rachev
Publisher : Springer Science & Business Media
Page : 438 pages
File Size : 54,7 Mb
Release : 2011-06-28
Category : Mathematics
ISBN : 9780817681807

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Handbook of Computational and Numerical Methods in Finance by Svetlozar T. Rachev Pdf

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Author : L. C. G. Rogers,D. Talay
Publisher : Cambridge University Press
Page : 348 pages
File Size : 46,8 Mb
Release : 1997-06-26
Category : Business & Economics
ISBN : 0521573548

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Numerical Methods in Finance by L. C. G. Rogers,D. Talay Pdf

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Author : Matthias Ehrhardt,Michael Günther,E. Jan W. ter Maten
Publisher : Springer
Page : 606 pages
File Size : 46,6 Mb
Release : 2017-09-19
Category : Mathematics
ISBN : 9783319612829

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Novel Methods in Computational Finance by Matthias Ehrhardt,Michael Günther,E. Jan W. ter Maten Pdf

This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Author : Anonim
Publisher : Elsevier
Page : 684 pages
File Size : 43,8 Mb
Release : 2009-06-16
Category : Mathematics
ISBN : 9780080931005

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Mathematical Modelling and Numerical Methods in Finance by Anonim Pdf

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field

Author : John Miller,David Edelman,John Appleby
Publisher : CRC Press
Page : 312 pages
File Size : 52,8 Mb
Release : 2007-09-21
Category : Mathematics
ISBN : 1584889268

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Numerical Methods for Finance by John Miller,David Edelman,John Appleby Pdf

Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field. Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities. Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

Author : Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle
Publisher : Springer Science & Business Media
Page : 804 pages
File Size : 48,6 Mb
Release : 2011-10-25
Category : Business & Economics
ISBN : 3642172547

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Handbook of Computational Finance by Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle Pdf

Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
Page : 551 pages
File Size : 52,7 Mb
Release : 2022-03-14
Category : Business & Economics
ISBN : 9781119719724

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Numerical Methods in Computational Finance by Daniel J. Duffy Pdf

This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users. Part A Mathematical Foundation for One-Factor Problems Chapters 1 to 7 introduce the mathematical and numerical analysis concepts that are needed to understand the finite difference method and its application to computational finance. Part B Mathematical Foundation for Two-Factor Problems Chapters 8 to 13 discuss a number of rigorous mathematical techniques relating to elliptic and parabolic partial differential equations in two space variables. In particular, we develop strategies to preprocess and modify a PDE before we approximate it by the finite difference method, thus avoiding ad-hoc and heuristic tricks. Part C The Foundations of the Finite Difference Method (FDM) Chapters 14 to 17 introduce the mathematical background to the finite difference method for initial boundary value problems for parabolic PDEs. It encapsulates all the background information to construct stable and accurate finite difference schemes. Part D Advanced Finite Difference Schemes for Two-Factor Problems Chapters 18 to 22 introduce a number of modern finite difference methods to approximate the solution of two factor partial differential equations. This is the only book we know of that discusses these methods in any detail. Part E Test Cases in Computational Finance Chapters 23 to 26 are concerned with applications based on previous chapters. We discuss finite difference schemes for a wide range of one-factor and two-factor problems. This book is suitable as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics have applications to numerical analysis, science and engineering. More on computational finance and the author’s online courses, see www.datasim.nl.

Author : Ali Hirsa
Publisher : CRC Press
Page : 440 pages
File Size : 51,7 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781466576049

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Computational Methods in Finance by Ali Hirsa Pdf

As today's financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The f

Author : René Carmona,Pierre Del Moral,Peng Hu,Nadia Oudjane
Publisher : Springer Science & Business Media
Page : 474 pages
File Size : 46,7 Mb
Release : 2012-03-23
Category : Mathematics
ISBN : 9783642257469

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Numerical Methods in Finance by René Carmona,Pierre Del Moral,Peng Hu,Nadia Oudjane Pdf

Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.

Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Page : 638 pages
File Size : 47,6 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

Author : George Levy
Publisher : Unknown
Page : 443 pages
File Size : 46,6 Mb
Release : 2004
Category : Electronic
ISBN : OCLC:641922676

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Computational Finance by George Levy Pdf

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 501 pages
File Size : 46,8 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.

Author : James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori
Publisher : Springer Science & Business Media
Page : 1180 pages
File Size : 54,5 Mb
Release : 2012-07-06
Category : Computers
ISBN : 9783642215513

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Handbook of Computational Statistics by James E. Gentle,Wolfgang Karl Härdle,Yuichi Mori Pdf

The Handbook of Computational Statistics - Concepts and Methods (second edition) is a revision of the first edition published in 2004, and contains additional comments and updated information on the existing chapters, as well as three new chapters addressing recent work in the field of computational statistics. This new edition is divided into 4 parts in the same way as the first edition. It begins with "How Computational Statistics became the backbone of modern data science" (Ch.1): an overview of the field of Computational Statistics, how it emerged as a separate discipline, and how its own development mirrored that of hardware and software, including a discussion of current active research. The second part (Chs. 2 - 15) presents several topics in the supporting field of statistical computing. Emphasis is placed on the need for fast and accurate numerical algorithms, and some of the basic methodologies for transformation, database handling, high-dimensional data and graphics treatment are discussed. The third part (Chs. 16 - 33) focuses on statistical methodology. Special attention is given to smoothing, iterative procedures, simulation and visualization of multivariate data. Lastly, a set of selected applications (Chs. 34 - 38) like Bioinformatics, Medical Imaging, Finance, Econometrics and Network Intrusion Detection highlight the usefulness of computational statistics in real-world applications.

Author : Bladimir Baranauskaus
Publisher : Koros Press
Page : 300 pages
File Size : 46,6 Mb
Release : 2013-04
Category : Economics
ISBN : 1781632944

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Handbook of Applied Computational Economics and Finance by Bladimir Baranauskaus Pdf

Presenting a variety of computational methods used to solve dynamic problems in economics and finance, this book 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.

Author : Karl Schmedders,Kenneth L. Judd
Publisher : Newnes
Page : 688 pages
File Size : 45,8 Mb
Release : 2013-12-31
Category : Business & Economics
ISBN : 9780080931784

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Handbook of Computational Economics by Karl Schmedders,Kenneth L. Judd Pdf

Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. Samples different styles and approaches, reflecting the breadth of computational economics as practiced today Focuses on problems with few well-developed solutions in the literature of other disciplines Emphasizes the potential for increasing the value of computational modeling in economics