Author: 日本オペレーションズ・リサーチ学会
Publisher:
ISBN:
Category : Operations research
Languages : en
Pages : 582

View

Book Description

Author: Eric Benhamou
Publisher: World Scientific
ISBN: 9812566899
Category : Business & Economics
Languages : en
Pages : 411

View

Book Description
This book provides a broad description of the financial derivatives business from a practitioner's point of view, with a particular emphasis on fixed income derivatives, a specific development on fixed income derivatives and a practical approach to the field. With particular emphasis on the concrete usage of mathematical models, numerical methods and the pricing methodology, this book is an essential reading for anyone considering a career in derivatives either as a trader, a quant or a structurer.

Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 852

View

Book Description

Author: Les Clewlow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 350

View

Book Description

Author: Matt Pharr
Publisher: Addison-Wesley Professional
ISBN: 9780321335593
Category : Computers
Languages : en
Pages : 814

View

Book Description
More useful techniques, tips, and tricks for harnessing the power of the new generation of powerful GPUs.

Author: Mario J. Miranda
Publisher: MIT Press
ISBN: 0262291754
Category : Business & Economics
Languages : en
Pages : 529

View

Book Description
This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs. The book is divided into two parts. The first part develops basic numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization, numerical integration and differentiation, and function approximation. The second part presents methods for solving dynamic stochastic models in economics and finance, including dynamic programming, rational expectations, and arbitrage pricing models in discrete and continuous time. The book uses MATLAB to illustrate the algorithms and includes a utilities toolbox to help readers develop their own computational economics applications.

Author:
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 1144

View

Book Description

Author: Ralf Korn
Publisher: CRC Press
ISBN: 1420076191
Category : Business & Economics
Languages : en
Pages : 485

View

Book Description
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom

Author: Kenneth Train
Publisher: Cambridge University Press
ISBN: 0521766559
Category : Business & Economics
Languages : en
Pages : 399

View

Book Description
This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Author: Don L. McLeish
Publisher: John Wiley & Sons
ISBN: 1118160940
Category : Business & Economics
Languages : en
Pages : 308

View

Book Description
Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.