Novel Methods in Computational Finance PDF Download

Author: Matthias Ehrhardt
Publisher: Springer
ISBN: 3319612824
Category : Mathematics
Languages : en
Pages : 599

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Book Description
This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Author: Matthias Ehrhardt
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Jin-Chuan Duan
Publisher: Springer Science & Business Media
ISBN: 3642172547
Category : Business & Economics
Languages : en
Pages : 791

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Book Description
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Author: Ali Hirsa
Publisher: Chapman & Hall CRC Press
ISBN: 9781032786636
Category : Business & Economics
Languages : en
Pages : 0

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Book Description
"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"--

Author: George Levy
Publisher:
ISBN:
Category :
Languages : en
Pages : 443

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Author: Argimiro Arratia
Publisher: Springer Science & Business Media
ISBN: 9462390703
Category : Computers
Languages : en
Pages : 305

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Book Description
The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.

Author: ™mr U?ur
Publisher: Imperial College Press
ISBN: 1848161921
Category : Mathematics
Languages : en
Pages : 315

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Book Description
Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will hopefully help readers improve their mathematical and computational backgrounds for more advanced topics.Errata(s)Errata

Author: Cornelis W Oosterlee
Publisher: World Scientific
ISBN: 1786347962
Category : Business & Economics
Languages : en
Pages : 1310

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Book Description
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.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Author: Rüdiger U. Seydel
Publisher: Springer
ISBN: 1447173384
Category : Mathematics
Languages : en
Pages : 498

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Book Description
Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains: Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends; Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods; 115 exercises, and more than 100 figures, many in color. Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.

Author: Antoine Savine
Publisher: John Wiley & Sons
ISBN: 1119540798
Category : Mathematics
Languages : en
Pages : 295

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Book Description
An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.