Viens / Mariani / Florescu Handbook of Modeling High-Frequency Data in Finance

1. Auflage 2011
ISBN: 978-1-118-20456-6
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 464 Seiten, E-Book

Reihe: Wiley Handbooks in Financial Engineering and Econometrics

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIALECONOMETRICS
In recent years, the availability of high-frequency data andadvances in computing have allowed financial practitioners todesign systems that can handle and analyze this information.Handbook of Modeling High-Frequency Data in Financeaddresses the many theoretical and practical questions raised bythe nature and intrinsic properties of this data.
A one-stop compilation of empirical and analytical research,this handbook explores data sampled with high-frequency finance infinancial engineering, statistics, and the modern financialbusiness arena. Every chapter uses real-world examples to presentnew, original, and relevant topics that relate to newly evolvingdiscoveries in high-frequency finance, such as:
* Designing new methodology to discover elasticity and plasticityof price evolution
* Constructing microstructure simulation models
* Calculation of option prices in the presence of jumps andtransaction costs
* Using boosting for financial analysis and trading
The handbook motivates practitioners to apply high-frequencyfinance to real-world situations by including exclusive topics suchas risk measurement and management, UHF data, microstructure,dynamic multi-period optimization, mortgage data models, hybridMonte Carlo, retirement, trading systems and forecasting, pricing,and boosting. The diverse topics and viewpoints presented in eachchapter ensure that readers are supplied with a wide treatment ofpractical methods.
Handbook of Modeling High-Frequency Data in Finance is anessential reference for academics and practitioners in finance,business, and econometrics who work with high-frequency data intheir everyday work. It also serves as a supplement for riskmanagement and high-frequency finance courses at theupper-undergraduate and graduate levels.

Autoren/Hrsg.

Viens, Frederi G.

Mariani, Maria C.

Mariani, Maria Cristina

Florescu, Ionut

Über Autor(innen)

Frederi G. Viens, PhD, is Director and Coordinator of theComputational Finance Program at Purdue University, where he alsoserves as Professor of Statistics and Mathematics. He has publishedextensively in the areas of mathematical finance, probabilitytheory, and stochastic processes. Dr. Viens is co-organizer of theannual Conference on Modeling High-Frequency Data in Finance.
Maria C. Mariani, PhD, is Pro-fessor and Chair in theDepartment of Mathematical Sciences at The University of Texas atEl Paso. She currently focuses her research on mathematicalfinance, applied mathematics, and numerical methods. Dr. Mariani isco-organizer of the annual Conference on Modeling High-FrequencyData in Finance.
Ionut Florescu, PhD, is Assistant Professor ofMathematics at Stevens Institute of Technology. He has published inresearch areas including stochastic volatility, stochastic partialdifferential equations, Monte Carlo methods, and numerical methodsfor stochastic processes. Dr. Florescu is lead organizer of theannual Conference on Modeling High-Frequency Data in Finance.