Numerical Methods for Finance
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€235.60
1FV Model
advanced numerical finance techniques
asset allocation strategies
ATSM
AV
Bermudan Swaptions
Category=KCH
Category=KF
Category=PBT
Category=PBW
Cir Model
credit risk analysis
Data Set
DE Optimizer
Default Probabilities
differential
DTSMs
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
equations
financial risk modeling
Finite Difference Method
GARCH Model
Heston's Stochastic Volatility Model
Heston’s Stochastic Volatility Model
Hurst Exponent
Hurst Exponent Estimation
implied
KF
MC.
option
Out-of Sample Volatility Forecasts
Participating Life Insurance
pension fund optimization
price
pricing
quantitative finance methods
Quasi Log Likelihood Function
quasi-monte
quasi-Monte Carlo Methods
stochastic
stochastic process applications
strike
Swap Measure
Swaption Pricing
Term Structure Models
Time Series
VaR Number
volatility
Product details
- ISBN 9781584889250
- Weight: 582g
- Dimensions: 156 x 234mm
- Publication Date: 21 Sep 2007
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field.
Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities.
Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.
John A. D. Appleby , David C. Edelman, John J. H. Miller
