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A Workout In Computational Finance

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A Workout In Computational Finance With Website

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Author : Andreas Binder
language : en
Publisher: John Wiley & Sons
Release Date : 2013-09-23

A Workout In Computational Finance With Website written by Andreas Binder and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-23 with Business & Economics categories.

A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem.

A Workout In Computational Finance

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Author : Andreas Binder
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-13

A Workout In Computational Finance written by Andreas Binder and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-13 with Business & Economics categories.

Introduction To Quantitative Methods For Financial Markets

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Author : Hansjoerg Albrecher
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-28

Introduction To Quantitative Methods For Financial Markets written by Hansjoerg Albrecher and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-28 with Mathematics categories.

Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative tools and methods. This book serves as an introduction to financial mathematics with special emphasis on aspects relevant in practice. In addition to numerous illustrative examples, algorithmic implementations are demonstrated using "Mathematica" and the software package "UnRisk" (available for both students and teachers). The content is organized in 15 chapters that can be treated as independent modules. In particular, the exposition is tailored for classroom use in a Bachelor or Master program course, as well as for practitioners who wish to further strengthen their quantitative background.

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

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Author : Cornelis W Oosterlee
language : en
Publisher: World Scientific
Release Date : 2019-10-29

Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-29 with Business & Economics categories.

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.

Progress In Industrial Mathematics At Ecmi 2021

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Author : Matthias Ehrhardt
language : en
Publisher: Springer Nature
Release Date : 2022-11-25

Progress In Industrial Mathematics At Ecmi 2021 written by Matthias Ehrhardt and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-25 with Mathematics categories.

This book gathers peer-reviewed contributions submitted to the 21st European Conference on Mathematics for Industry, ECMI 2021, which was virtually held online, hosted by the University of Wuppertal, Germany, from April 13th to April 15th, 2021. The works explore mathematics in a wide variety of applications, ranging from problems in electronics, energy and the environment, to mechanics and mechatronics. Topics covered include: Applied Physics, Biology and Medicine, Cybersecurity, Data Science, Economics, Finance and Insurance, Energy, Production Systems, Social Challenges, and Vehicles and Transportation. The goal of the European Consortium for Mathematics in Industry (ECMI) conference series is to promote interaction between academia and industry, leading to innovations in both fields. These events have attracted leading experts from business, science and academia, and have promoted the application of novel mathematical technologies to industry. They have also encouraged industrial sectors to share challenging problems where mathematicians can provide fresh insights and perspectives. Lastly, the ECMI conferences are one of the main forums in which significant advances in industrial mathematics are presented, bringing together prominent figures from business, science and academia to promote the use of innovative mathematics in industry.

50 Jahre Johannes Kepler Universit T Linz

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Author : Maria Wirth
language : de
Publisher: Böhlau Verlag Wien
Release Date : 2017-06-12

50 Jahre Johannes Kepler Universit T Linz written by Maria Wirth and has been published by Böhlau Verlag Wien this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-12 with Education categories.

Die Johannes Kepler Universität (JKU) Linz wurde 1966 als Hochschule für Sozial- und Wirtschaftswissenschaften eröffnet. Nach der jüngsten Erweiterung um die Medizin umfasst sie heute vier Fakultäten. Der zweite Band der Publikationen zur Universitätsgeschichte präsentiert am Beispiel der JKU Fallstudien zur Frage: Wie entsteht Neues in der Wissenschaft?

Computational Finance

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Author : George Levy
language : en
Publisher: Butterworth-Heinemann
Release Date : 2004-01-27

Computational Finance written by George Levy and has been published by Butterworth-Heinemann this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-27 with Business & Economics categories.

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.

Financial Modelling

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Author : Joerg Kienitz
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-10

Financial Modelling written by Joerg Kienitz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-10 with Business & Economics categories.

Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.

Derivatives

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Author : Espen Gaarder Haug
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-18

Derivatives written by Espen Gaarder Haug and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-18 with Business & Economics categories.

Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book. The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include: Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration Nassim Taleb on Black Swans Stephen Ross on Arbitrage Pricing Theory Emanuel Derman the Wall Street Quant Edward Thorp on Gambling and Trading Peter Carr the Wall Street Wizard of Option Symmetry and Volatility Aaron Brown on Gambling, Poker and Trading David Bates on Crash and Jumps Andrei Khrennikov on Negative Probabilities Elie Ayache on Option Trading and Modeling Peter Jaeckel on Monte Carlo Simulation Alan Lewis on Stochastic Volatility and Jumps Paul Wilmott on Paul Wilmott Knut Aase on Catastrophes and Financial Economics Eduardo Schwartz the Yoga Master of Quantitative Finance Bruno Dupire on Local and Stochastic Volatility Models

The Mathematics Of Derivatives Securities With Applications In Matlab

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Author : Mario Cerrato
language : en
Publisher: John Wiley & Sons
Release Date : 2012-02-24

The Mathematics Of Derivatives Securities With Applications In Matlab written by Mario Cerrato and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-24 with Business & Economics categories.

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.

A Workout In Computational Finance

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