Handbook of Computational and Numerical Methods in Finance / Edition 1

Handbook of Computational and Numerical Methods in Finance / Edition 1

by Svetlozar T. Rachev
     
 

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ISBN-10: 0817632190

ISBN-13: 9780817632199

Pub. Date: 06/29/2004

Publisher: Birkhauser Verlag

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical

Overview

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. 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 and survey articles focusing on various numerical methods in finance. 3 The contributions cover methodological issues, i.e., genetic algorithms or programming, neural networks, Monte-Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other numerical methods in finance and risk management. Contributors include: Z. Atakhanova
• O. Blaskowitz
• R. Carmona
• J.-P. Chancelier
• W. Haerdle
• I. Huber
• I. Khindanova
• A. Kohatsu
• B. Lapeyre
• J. Ma
• C. Marinelli
• S. Ortobelli
• G. Pages
• J. Peppel
• H. Pham
• J. Printems
• S. Rachev
• F. Schlottmann
• P. Schmidt
• D. Seese
• S. Stojanovic
• A. Sulem
• M. Taqqu
• N. Touzi
• S. Trück
• F. Viens
• Z. The book is designed for the academic community, and will also serve professional investors.

Product Details

ISBN-13:
9780817632199
Publisher:
Birkhauser Verlag
Publication date:
06/29/2004
Edition description:
2004
Pages:
435
Product dimensions:
6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

1 Skewness and Kurtosis Trades.- 2 Valuation of a Credit Spread Put Option: The Stable Paretian model with Copulas.- 3 GARCH-Type Processes in Modeling Energy Prices.- 4 Malliavin Calculus in Finance.- 5 Bootstrap Unit Root Tests for Heavy-Tailed Time Series.- 6 Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One.- 7 Optimal Quantization Methods and Applications to Numerical Problems in Finance.- 8 Numerical Methods for Stable Modeling in Financial Risk Management.- 9 Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications.- 10 On Relation Betweeen Expected Regret and Conditional Value-at-Risk.- 11 Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models.- 12 Numerical Analysis of Shastic Differential Systems and its Applications in Finance.- List of Contributors.

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