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Computational Methods for Quantitative Finance

2013-02-15 Mathematics
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Release : 2013-02-15
Genre : Mathematics
Kind : eBook
Book Rating : 017/5 ( reviews)

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Book Synopsis Computational Methods for Quantitative Finance by : Norbert Hilber

Download or read book Computational Methods for Quantitative Finance written by Norbert Hilber. This book was released on 2013-02-15. Available in PDF, EPUB and Kindle. Book excerpt: 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.​

Computational Methods in Finance

2016-04-19 Business & Economics
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Release : 2016-04-19
Genre : Business & Economics
Kind : eBook
Book Rating : 049/5 ( reviews)

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Book Synopsis Computational Methods in Finance by : Ali Hirsa

Download or read book Computational Methods in Finance written by Ali Hirsa. This book was released on 2016-04-19. Available in PDF, EPUB and Kindle. Book excerpt: Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical methods. It addresses key computational methods in finance, including transform techniques, the finite difference method, and Monte Carlo simulation. Developed from his courses at Columbia University and the Courant Institute of New York University, the author also covers model calibration and optimization and describes techniques, such as Kalman and particle filters, for parameter estimation.

Computational Finance

2004-01-27 Business & Economics
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Release : 2004-01-27
Genre : Business & Economics
Kind : eBook
Book Rating : 228/5 ( reviews)

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Book Synopsis Computational Finance by : George Levy

Download or read book Computational Finance written by George Levy. This book was released on 2004-01-27. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Novel Methods in Computational Finance

2017-09-19 Mathematics
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Release : 2017-09-19
Genre : Mathematics
Kind : eBook
Book Rating : 824/5 ( reviews)

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Book Synopsis Novel Methods in Computational Finance by : Matthias Ehrhardt

Download or read book Novel Methods in Computational Finance written by Matthias Ehrhardt. This book was released on 2017-09-19. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Numerical Methods in Finance with C++

2012-08-02 Business & Economics
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Release : 2012-08-02
Genre : Business & Economics
Kind : eBook
Book Rating : 162/5 ( reviews)

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Book Synopsis Numerical Methods in Finance with C++ by : Maciej J. Capiński

Download or read book Numerical Methods in Finance with C++ written by Maciej J. Capiński. This book was released on 2012-08-02. Available in PDF, EPUB and Kindle. Book excerpt: This book provides aspiring quant developers with the numerical techniques and programming skills needed in quantitative finance. No programming background required.

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