Computational Methods For Quantitative Finance
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Computational Methods For Quantitative Finance
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Author : Norbert Hilber
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-02-15
Computational Methods For Quantitative Finance written by Norbert Hilber 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 2013-02-15 with Mathematics categories.
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 Finance
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Author : George Levy
language : en
Publisher: Elsevier
Release Date : 2003-12-17
Computational Finance written by George Levy and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-17 with Computers categories.
Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++.These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application.Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML. - Enables reader to incorporate advanced financial modelling techniques in Windows compatible software - Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options
Computational Methods In Finance
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Author : Ali Hirsa
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Computational Methods In Finance written by Ali Hirsa and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
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 Methods In Finance
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Author : Ali Hirsa
language : en
Publisher: CRC Press
Release Date : 2024-08-30
Computational Methods In Finance written by Ali Hirsa and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-08-30 with Business & Economics categories.
Computational Methods in Finance is a book developed from the author’s courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning. Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.
Mathematical Modelling And Numerical Methods In Finance
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Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
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
Numerical Methods In Finance With C
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Author : Maciej J. Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-08-02
Numerical Methods In Finance With C written by Maciej J. Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-02 with Business & Economics categories.
Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.
Numerical Methods And Optimization In Finance
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Author : Manfred Gilli
language : en
Publisher: Academic Press
Release Date : 2019-08-16
Numerical Methods And Optimization In Finance written by Manfred Gilli and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-16 with Business & Economics categories.
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
Numerical Methods In Finance
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Author : René Carmona
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-03-23
Numerical Methods In Finance written by René Carmona 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 2012-03-23 with Mathematics categories.
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.
Mathematical Finance
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Author : William Johnson
language : en
Publisher: HiTeX Press
Release Date : 2024-10-13
Mathematical Finance written by William Johnson and has been published by HiTeX Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-13 with Business & Economics categories.
"Mathematical Finance: Theory and Practice for Quantitative Investors" is an essential guide for those seeking to understand and excel in the complex world of financial markets through the lens of quantitative analysis. This comprehensive text offers a deep dive into the foundational principles and advanced techniques that underpin modern finance, seamlessly bridging theory with application. It is tailored to equip both aspiring and seasoned investors with the critical skills needed to navigate the dynamics of economic fluctuations and market volatilities effectively. Each chapter meticulously explores key topics, from the time value of money and risk management to the intricacies of algorithmic trading and derivatives. The book emphasizes practical, data-driven approaches, ensuring readers can apply sophisticated models and strategies in real-world financial scenarios. With insights into behavioral finance and the transformative impact of machine learning and computational methods, this text serves as both a profound educational resource and an invaluable reference. By demystifying complex concepts and presenting them with clarity, this book empowers readers to achieve superior analytical prowess and informed decision-making in the pursuit of financial mastery.
Handbook Of Quantitative Finance And Risk Management
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Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee 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 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.