Modern Computational Finance

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Modern Computational Finance

Antoine Savine
Modern Computational Finance Book PDF

Author : Antoine Savine
Publisher : John Wiley & Sons
Page : 592 pages
File Size : 53,8 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.

Modern Computational Finance

Antoine Savine,Jesper Andreasen
Modern Computational Finance Book PDF

Author : Antoine Savine,Jesper Andreasen
Publisher : John Wiley & Sons
Page : 295 pages
File Size : 55,5 Mb
Release : 2021-11-02
Category : Mathematics
ISBN : 9781119540786

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Modern Computational Finance by Antoine Savine,Jesper Andreasen Pdf

An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.

Numerical Methods in Computational Finance

Daniel J. Duffy
Numerical Methods in Computational Finance Book PDF

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
Page : 551 pages
File Size : 53,9 Mb
Release : 2022-03-21
Category : Business & Economics
ISBN : 9781119719670

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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.

Modern Computational Finance

Antoine Savine
Modern Computational Finance Book PDF

Author : Antoine Savine
Publisher : Unknown
Page : 22 pages
File Size : 47,6 Mb
Release : 2018
Category : Electronic
ISBN : OCLC:1304326355

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Modern Computational Finance by Antoine Savine Pdf

Public preview of Antoine Savine's book "Modern Computational Finance: AAD and Parallel Simulations", published by Wiley in November 2018.

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 : 46,8 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

Computational Finance

George Levy
Computational Finance Book PDF

Author : George Levy
Publisher : Butterworth-Heinemann
Page : 474 pages
File Size : 51,8 Mb
Release : 2004-01-27
Category : Business & Economics
ISBN : 0750657227

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Computational Finance by George Levy Pdf

Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book." -- d.j.

Modern Computational Finance

Antoine Savine,Jesper Andreasen
Modern Computational Finance Book PDF

Author : Antoine Savine,Jesper Andreasen
Publisher : John Wiley & Sons
Page : 295 pages
File Size : 48,7 Mb
Release : 2021-10-27
Category : Mathematics
ISBN : 9781119540793

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Modern Computational Finance by Antoine Savine,Jesper Andreasen Pdf

An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.

Applied Quantitative Finance

Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck
Applied Quantitative Finance Book PDF

Author : Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck
Publisher : Springer
Page : 372 pages
File Size : 40,7 Mb
Release : 2017-08-02
Category : Business & Economics
ISBN : 9783662544860

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Applied Quantitative Finance by Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck Pdf

This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.

Handbook of Computational Finance

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

Author : Jin-Chuan Duan,Wolfgang Karl Härdle,James E. Gentle
Publisher : Springer Science & Business Media
Page : 791 pages
File Size : 44,8 Mb
Release : 2011-10-25
Category : Business & Economics
ISBN : 9783642172540

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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.

Computational Methods for Quantitative Finance

Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter
Computational Methods for Quantitative Finance Book PDF

Author : Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 40,8 Mb
Release : 2013-02-15
Category : Mathematics
ISBN : 9783642354014

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Computational Methods for Quantitative Finance by Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter Pdf

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

Quantitative Finance

Erik Schlogl
Quantitative Finance Book PDF

Author : Erik Schlogl
Publisher : CRC Press
Page : 356 pages
File Size : 55,6 Mb
Release : 2018-09-03
Category : Mathematics
ISBN : 9781315359854

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Quantitative Finance by Erik Schlogl Pdf

Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

Computational Methods in Finance

Ali Hirsa
Computational Methods in Finance Book PDF

Author : Ali Hirsa
Publisher : CRC Press
Page : 440 pages
File Size : 45,7 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

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 : 54,7 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.

Computational Finance and Its Applications III

M. Costantino,C. A. Brebbia,M. Larran
Computational Finance and Its Applications III Book PDF

Author : M. Costantino,C. A. Brebbia,M. Larran
Publisher : WIT Press
Page : 257 pages
File Size : 47,9 Mb
Release : 2008
Category : Business & Economics
ISBN : 9781845641115

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Computational Finance and Its Applications III by M. Costantino,C. A. Brebbia,M. Larran Pdf

Featuring papers from the Third International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as modern financial services technologies, derivatives pricing, portfolio management and asset allocation, and intelligent trading agents.

Quantitative Equity Portfolio Management

Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Quantitative Equity Portfolio Management Book PDF

Author : Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publisher : CRC Press
Page : 462 pages
File Size : 47,9 Mb
Release : 2007-05-11
Category : Business & Economics
ISBN : 9781420010794

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Quantitative Equity Portfolio Management by Edward E. Qian,Ronald H. Hua,Eric H. Sorensen Pdf

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for