Computational Methods For Quantitative Finance

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Computational Methods For Quantitative Finance

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Author : Norbert Hilber
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-02-15

Computational Methods For Quantitative Finance written by Norbert Hilber and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-15 with Mathematics categories.

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

Computational Finance

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Author : George Levy
language : en
Publisher: Elsevier
Release Date : 2003-12-17

Computational Finance written by George Levy and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-17 with Computers categories.

Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++.These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application.Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML. - Enables reader to incorporate advanced financial modelling techniques in Windows compatible software - Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options

Computational Methods In Finance

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Author : Ali Hirsa
language : en
Publisher: CRC Press
Release Date : 2024-08-30

Computational Methods In Finance written by Ali Hirsa and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-08-30 with Business & Economics categories.

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. Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.

Stochastic Analysis For Finance With Simulations

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Author : Geon Ho Choe
language : en
Publisher: Springer
Release Date : 2016-07-14

Stochastic Analysis For Finance With Simulations written by Geon Ho Choe and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-14 with Mathematics categories.

This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.

A Workout In Computational Finance

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Author : Andreas Binder
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-13

A Workout In Computational Finance written by Andreas Binder and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-13 with Business & Economics categories.

A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem.

Quantitative Methods In Derivatives Pricing

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Author : Domingo Tavella
language : en
Publisher: John Wiley & Sons
Release Date : 2003-04-07

Quantitative Methods In Derivatives Pricing written by Domingo Tavella and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-07 with Business & Economics categories.

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

Quantitative Finance With Python

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Author : Chris Kelliher
language : en
Publisher: CRC Press
Release Date : 2022-05-19

Quantitative Finance With Python written by Chris Kelliher and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-19 with Business & Economics categories.

Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction to foundational topics in quant finance, such as options pricing, portfolio optimization and machine learning. Simultaneously, the reader benefits from a strong emphasis on the practical applications of these concepts for institutional investors. Features Useful as both a teaching resource and as a practical tool for professional investors. Ideal textbook for first year graduate students in quantitative finance programs, such as those in master’s programs in Mathematical Finance, Quant Finance or Financial Engineering. Includes a perspective on the future of quant finance techniques, and in particular covers some introductory concepts of Machine Learning. Free-to-access repository with Python codes available at www.routledge.com/ 9781032014432 and on https://github.com/lingyixu/Quant-Finance-With-Python-Code.

Implementing Models In Quantitative Finance Methods And Cases

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Author : Gianluca Fusai
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-20

Implementing Models In Quantitative Finance Methods And Cases written by Gianluca Fusai and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-20 with Business & Economics categories.

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Mathematical Modelling And Numerical Methods In Finance

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Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16

Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field

Computational Finance

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Author : George Levy
language : en
Publisher: Academic Press
Release Date : 2008-05-15

Computational Finance written by George Levy and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-15 with Mathematics categories.

This set contains two previously published books on computational finance: Computational Finance presents a modern computational approach to mathematical finance within the Windows environment. George Levy illustrates how numeric components can be developed by Financial Analysts that allow financial routines on the computer to be more easily performed. This book contains a bound in CD-ROM. In Computational Finance Using C and C#, Levy raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm's internal software and code requirements. Levy also provides derivatives pricing information for equity derivates, interest rate derivatives, foreign exchange derivatives, and credit derivatives. A unique password is bound into every book, giving the reader access to additional software on password protected website. *Shows how to incorporate advanced financial modelling techniques in Windows compatible software * Includes CD-ROM with adaptive software * Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options *Complete financial instrument pricing code in standard C and C# available to book buyers on companion website * Provides software design patterns in C and C# and the use of SQL server