Numerical Methods for Finance
Published on 21. September 2007
312 pages
978-1-58488-926-7 (ISBN)
Description
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
Presenting state-of-the-art methods in this area
More details
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
Practitioners, researchers, and students in quantitative finance and investment.
Illustrations
59 s/w Abbildungen, 63 s/w Tabellen
59 b/w images, 63 tables and 138 equations
File size
5,50 MB
ISBN-13
978-1-58488-926-7 (9781584889267)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
John Miller | David Edelman | John Appleby
Numerical Methods for Finance
Book
09/2019
1st Edition
Chapman & Hall/CRC
€97.10
Shipment within 15-20 days
John Miller | David Edelman | John Appleby
Numerical Methods for Finance
Book
09/2007
1st Edition
Chapman & Hall/CRC
€267.41
Shipment within 15-20 days
Persons
John A. D. Appleby , David C. Edelman, John J. H. Miller
Content
Coherent Measures of Risk into Everyday Market Practice. Pricing High-Dimensional American Options Using Local Consistency Conditions. Adverse Inter-Risk Diversification Effects for FX Forwards. Counterparty Risk under Correlation between Default and Interest Rates. Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies. An Efficient Numerical Method for Pricing Interest Rate Swaptions. Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices. Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach. Pricing Credit from the Top Down with Affine Point Processes. Valuation of Performance-Dependent Options in a Black-Scholes Framework. Variance Reduction through Multilevel Monte Carlo Path Calculations. Value at Risk and Self-Similarity. Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model. EDDIE for Discovering Arbitrage Opportunities. Index.
