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Handbook of Computational and Numerical Methods in Finance Svetlozar T. Rachev

Handbook of Computational and Numerical Methods in Finance By Svetlozar T. Rachev

Handbook of Computational and Numerical Methods in Finance by Svetlozar T. Rachev


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Summary

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored.

Handbook of Computational and Numerical Methods in Finance Summary

Handbook of Computational and Numerical Methods in Finance by Svetlozar T. Rachev

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Handbook of Computational and Numerical Methods in Finance Reviews

The title of this book my be somewhat misleading-- as an edited volume, it contains several papers on some issues in quantitative finance. Most contributions have a computational/numerical slant. It is no surprise that several papers concentrate on heavy-tailed models, in particular Pareto-type models figure prominently. For me, the highlight is the paper by Kohatsu-Higa and Montero on Malliavan Calculus in Finance. This seventy plus page paper gives a very readable introduction to this imporatnt field of current research. A further enjoyable paper is Modern Heuirstics for Finance Problems: A Survey of Selected Mehtods and Applications: by Schlottmann and Seese.

---Publication of the International Statistical Institute

Table of Contents

1 Skewness and Kurtosis Trades.- 2 Valuation of a Credit Spread Put Option: The Stable Paretian model with Copulas.- 3 GARCH-Type Processes in Modeling Energy Prices.- 4 Malliavin Calculus in Finance.- 5 Bootstrap Unit Root Tests for Heavy-Tailed Time Series.- 6 Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One.- 7 Optimal Quantization Methods and Applications to Numerical Problems in Finance.- 8 Numerical Methods for Stable Modeling in Financial Risk Management.- 9 Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications.- 10 On Relation Betweeen Expected Regret and Conditional Value-at-Risk.- 11 Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models.- 12 Numerical Analysis of Stochastic Differential Systems and its Applications in Finance.- List of Contributors.

Additional information

NPB9780817632199
9780817632199
0817632190
Handbook of Computational and Numerical Methods in Finance by Svetlozar T. Rachev
New
Hardback
Birkhauser Boston Inc
2004-06-29
435
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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