Handbook of Computational and Numerical Methods in Finance / Edition 1

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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 employed 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.

Key topics covered include: methodological issues, i.e., genetic algorithms, neural networks, Monte–Carlo methods, finite difference methods, shastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors.

Contributors: K. Amir-Atefi; Z. Atakhanova; A. Biglova; O.J. Blaskowitz; D. D’Souza; W.K. Härdle; I. Huber; I. Khindanova; A. Kohatsu-Higa; P. Kokoszka; M. Montero; S. Ortobelli; E. Özturkmen; G. Pagès; A. Parfionovas; H. Pham; J. Printems; S. Rachev; B. Racheva-Jotova; F. Schlottmann; P. Schmidt; D. Seese; S. Stoyanov; C.E. Testuri; S. Trück; S. Uryasev; and Z. Zheng.

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Editorial Reviews

From the Publisher

"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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Product Details

  • ISBN-13: 9780817632199
  • Publisher: Birkhauser Verlag
  • Publication date: 6/29/2004
  • Edition description: 2004
  • Edition number: 1
  • Pages: 441
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.00 (d)

Table of Contents

1 Skewness and kurtosis trades 1
2 Valuation of a credit spread put option : the stable paretian model with copulas 15
3 GARCH-type processes in modeling energy prices 71
4 Malliavin calculus in finance 111
5 Bootstrap unit root tests for heavy-tailed time series 175
6 Optimal portfolio selection and risk management : a comparison between the stable paretian approach and the gaussian one 197
7 Optimal quantization methods and applications to numerical problems in finance 253
8 Numerical methods for stable modeling in financial risk management 299
9 Modern heuristics for finance problems : a survey of selected methods and applications 331
10 On relation between expected regret and conditional value-at-risk 361
11 Estimation, adjustment and application of transition matrices in credit risk models 373
12 Numerical analysis of stochastic differential systems and its applications in finance 403
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