Computational Methods in Finance

1. Auflage 2012
ISBN: 978-1-4398-2957-8
Verlag: CRC Press

Buch, Englisch, 444 Seiten, Format (B × H): 182 mm x 261 mm, Gewicht: 944 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods.

The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets. It then examines many computational approaches for pricing derivatives. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.

The next part focuses on essential steps in real-world derivative pricing. The author discusses how to calibrate model parameters so that model prices are compatible with market prices. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation.

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.

Zielgruppe

Graduate students in computational finance; researchers and practitioners in finance.

Autoren/Hrsg.

Hirsa, Ali

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Mathematik | Informatik Mathematik Operations Research
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

I Pricing and Valuation: Stochastic Processes and Risk-Neutral Pricing. Derivatives Pricing via Transform Techniques. Introduction to Finite Differences. Derivative Pricing via Numerical Solutions of PDEs. Derivative Pricing via Numerical Solutions of PIDEs. Simulation Methods for Derivatives Pricing. II Calibration and Estimation: Model Calibration. Filtering and Parameter Estimation. References. Index.

Über Autor(innen)

Ali Hirsa is head of Analytical Trading Strategy at Caspian Capital Management. Dr. Hirsa is also an adjunct professor at Columbia University and NYU’s Courant Institute of Mathematical Sciences.