Handbook of Computational and Numerical Methods in Finance

By: Svetlozar T. Rachev (Editor), George A. Anastassiou (Adapted By)

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Hardcover | 20 August 2004

At a Glance

Hardcover
448 Pages

Dimensions(cm)
23.39 x 15.6 x 2.54

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Numerical Methods in Finance have recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. They bridge the gap between financial theory and computational practice and provide solutions to problems where analytical methods are often non-applicable. Numerical methods are more and more used in several topics of financial analy- sis: computation of complex derivatives; market, credit and operational risk assess- ment, asset liability management, optimal portfolio theory, financial econometrics and others. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research focusing on various numerical methods in finance. The contributions cover methodological issues. Genetic Algorithms, Neural Net- works, Monte-Carlo methods, Finite Difference Methods, Stochastic Portfolio Opti- mization as well as the application of other numerical methods in finance and risk management. As editor, I am grateful to the contributors for their fruitful collaboration. I would particularly like to thankStefan Trueck and Carlo Marinelli for the excellent editorial assistance received over the progress of this project. Thomas Plum did a splendid word-processingjob in preparing the manuscript. lowe much to George Anastassiou (ConsultantEditor, Birkhauser) and Ann Kostant Executive Editor, Mathematics and Physics, Birkhauser for their help and encouragement.

Industry Reviews

"The title of this book my be somewhat misleading-- as an edited volume, it contains several papers on some issues in quantitative finance. Most contributions have a computational/numerical slant. It is no surprise that several papers concentrate on heavy-tailed models, in particular Pareto-type models figure prominently. For me, the highlight is the paper by Kohatsu-Higa and Montero on "Malliavan Calculus in Finance". This seventy plus page paper gives a very readable introduction to this imporatnt field of current research. A further enjoyable paper is "Modern Heuirstics for Finance Problems: A Survey of Selected Mehtods and Applications: by Schlottmann and Seese."

---Publication of the International Statistical Institute

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Accounting Mathematics Calculus & Mathematical Analysis Numerical Analysis Probability & Statistics Applied Mathematics Optimisation Game Theory

Preface
Skewness and Kurtosis Trades
Valuation of a Credit Spread Put Option
The Stable Paretian Model with Copulas
Garch-Type Processes in Modeling Energy Prices
Malliavin Calculus in Finance
Bootstrap Unit Root Tests for Heavy-Tailed Time Series
Optimal Portfolio Selection and Risk Management
A Comparison Between the Stable Paretian
Approach and the Gaussian One Optimal
Quantization Methods and Applications to Numerical Problems in Finance
Numerical Methods for Stable
Modeling in Financial Risk Management
Modern Heuristics for Finance Problems
A Survey of Selected Methods and Applications
On Relation Between Expected Regret and Conditional Value-at-Risk
Estimation, Adjustment and Application of Transition
Matrices in Credit Risk Models
Numerical Analysis of Stochastic
Differential Systems and its Applications in Finance
A. List of Contributors
Table of Contents provided by Publisher. All Rights Reserved.

Handbook of Computational and Numerical Methods in Finance

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

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