Mathematical Modeling And Computation In Finance

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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 : 49,8 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].

Mathematical Modeling and Computation in Finance

Cornelis W. Oosterlee,Lech A. Grzelak
Mathematical Modeling and Computation in Finance Book PDF

Author : Cornelis W. Oosterlee,Lech A. Grzelak
Publisher : Wspc (Europe)
Page : 0 pages
File Size : 47,8 Mb
Release : 2019-10-14
Category : Finance
ISBN : 1786348055

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Mathematical Modeling and Computation in Finance 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.

Elementary Calculus of Financial Mathematics

A. J. Roberts
Elementary Calculus of Financial Mathematics Book PDF

Author : A. J. Roberts
Publisher : SIAM
Page : 128 pages
File Size : 48,8 Mb
Release : 2009-01-01
Category : Calculus
ISBN : 0898718228

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Elementary Calculus of Financial Mathematics by A. J. Roberts Pdf

Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.

Mathematical Modelling and Numerical Methods in Finance

Anonim
Mathematical Modelling and Numerical Methods in Finance Book PDF

Author : Anonim
Publisher : Elsevier
Page : 684 pages
File Size : 44,6 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

Computational Finance

Argimiro Arratia
Computational Finance Book PDF

Author : Argimiro Arratia
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 50,9 Mb
Release : 2014-05-08
Category : Computers
ISBN : 9789462390706

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Computational Finance by Argimiro Arratia Pdf

The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.

Option Pricing

Paul Wilmott,Jeff Dewynne,Sam Howison
Option Pricing Book PDF

Author : Paul Wilmott,Jeff Dewynne,Sam Howison
Publisher : Unknown
Page : 457 pages
File Size : 51,6 Mb
Release : 1993
Category : Finance
ISBN : 0952208202

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Option Pricing by Paul Wilmott,Jeff Dewynne,Sam Howison Pdf

Análisis de los diferentes modelos matemáticos aplicados a los precios de opción. Se estudian además los elementos matemáticos básicos necesarios para el análisis de la ecuación Black-Scholes.

Financial Engineering and Computation

Yuh-Dauh Lyuu
Financial Engineering and Computation Book PDF

Author : Yuh-Dauh Lyuu
Publisher : Cambridge University Press
Page : 128 pages
File Size : 44,8 Mb
Release : 2001-11-12
Category : Mathematics
ISBN : 9781139431903

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Financial Engineering and Computation by Yuh-Dauh Lyuu Pdf

Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.

Applied Mathematical Models in Human Physiology

Johnny T. Ottesen,Mette S. Olufsen,Jesper K. Larsen
Applied Mathematical Models in Human Physiology Book PDF

Author : Johnny T. Ottesen,Mette S. Olufsen,Jesper K. Larsen
Publisher : SIAM
Page : 311 pages
File Size : 52,8 Mb
Release : 2004-01-01
Category : Medical
ISBN : 0898718287

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Applied Mathematical Models in Human Physiology by Johnny T. Ottesen,Mette S. Olufsen,Jesper K. Larsen Pdf

This book introduces mathematicians to real applications from physiology. Using mathematics to analyze physiological systems, the authors focus on models reflecting current research in cardiovascular and pulmonary physiology. In particular, they present models describing blood flow in the heart and the cardiovascular system, as well as the transport of oxygen and carbon dioxide through the respiratory system and a model for baroreceptor regulation.

Mathematical Systems Theory in Biology, Communications, Computation and Finance

Joachim Rosenthal,David S. Gilliam
Mathematical Systems Theory in Biology Communications Computation and Finance Book PDF

Author : Joachim Rosenthal,David S. Gilliam
Publisher : Springer Science & Business Media
Page : 508 pages
File Size : 47,8 Mb
Release : 2012-12-06
Category : Science
ISBN : 9780387216966

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Mathematical Systems Theory in Biology, Communications, Computation and Finance by Joachim Rosenthal,David S. Gilliam Pdf

This volume contains survey and research articles by some of the leading researchers in mathematical systems theory - a vibrant research area in its own right. Many authors have taken special care that their articles are self-contained and accessible also to non-specialists.

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 : 52,5 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.

Introduction to Financial Mathematics

Donald R. Chambers,Qin Lu
Introduction to Financial Mathematics Book PDF

Author : Donald R. Chambers,Qin Lu
Publisher : CRC Press
Page : 581 pages
File Size : 48,7 Mb
Release : 2021-06-16
Category : Computers
ISBN : 9781000370126

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Introduction to Financial Mathematics by Donald R. Chambers,Qin Lu Pdf

This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.

Mathematical Modeling and Computer Simulation

Daniel P. Maki,Maynard Thompson
Mathematical Modeling and Computer Simulation Book PDF

Author : Daniel P. Maki,Maynard Thompson
Publisher : Cengage Learning
Page : 312 pages
File Size : 40,5 Mb
Release : 2006
Category : Computers
ISBN : UOM:39015062842094

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Mathematical Modeling and Computer Simulation by Daniel P. Maki,Maynard Thompson Pdf

Daniel Maki and Maynard Thompson provide a conceptual framework for the process of building and using mathematical models, illustrating the uses of mathematical and computer models in a variety of situations.

The Mathematics of Financial Derivatives

Paul Wilmott,Sam Howison,Jeff Dewynne
The Mathematics of Financial Derivatives Book PDF

Author : Paul Wilmott,Sam Howison,Jeff Dewynne
Publisher : Cambridge University Press
Page : 338 pages
File Size : 50,5 Mb
Release : 1995-09-29
Category : Business & Economics
ISBN : 0521497892

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The Mathematics of Financial Derivatives by Paul Wilmott,Sam Howison,Jeff Dewynne Pdf

Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.

Computational Methods in Finance

Ali Hirsa
Computational Methods in Finance Book PDF

Author : Ali Hirsa
Publisher : CRC Press
Page : 440 pages
File Size : 47,6 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

Modern Computational Finance

Antoine Savine
Modern Computational Finance Book PDF

Author : Antoine Savine
Publisher : John Wiley & Sons
Page : 592 pages
File Size : 49,6 Mb
Release : 2018-11-20
Category : Mathematics
ISBN : 9781119539452

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Modern Computational Finance by Antoine Savine Pdf

Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.