Recent Developments In Computational Finance

Author : Peter Kloeden
Publisher : World Scientific
ISBN 13 : 9814436445
Total Pages : 480 pages
Book Rating : 4.41/5 ( download)

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Download or read book Recent Developments In Computational Finance: Foundations, Algorithms And Applications written by Peter Kloeden and published by World Scientific. This book was released on 2012-11-30 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses.The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Author : Thomas Gerstner
Publisher : World Scientific
ISBN 13 : 9814436429
Total Pages : 481 pages
Book Rating : 4.27/5 ( download)

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Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Author : Thomas Gerstner
Publisher : World Scientific
ISBN 13 : 9814436437
Total Pages : 481 pages
Book Rating : 4.34/5 ( download)

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Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Author : Dash Gordon H Thomaidis Nikolaos
Publisher : Nova Science Publishers
ISBN 13 : 9781626181519
Total Pages : 227 pages
Book Rating : 4.19/5 ( download)

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Download or read book Recent Advances in Computational Finance written by Dash Gordon H Thomaidis Nikolaos and published by Nova Science Publishers. This book was released on 2013-01-01 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: As it stands today, the spectrum of methods, tools, and applications that populate the area of computational finance is literally vast. Distinctively, it is this vast domain that differentiates today's financial decision makers from their counterparts of just a decade ago. Couched within this landscape are a set of increasingly complex resource utilization decisions; decisions that are, today, impacted by a surprising growth in technology that now spans a more globally diverse production and engineering environment. Collectively, firm financial managers, portfolio managers, and enterprise risk managers continue to exhort the computational finance community to formulate effective tools that more descriptively reconcile difficult problems in new product development, risk mitigation, and overall enterprise management. The computational finance community has responded to this call by offering refinements to classic computational methods while also introducing new ones. From continuous optimization to natural and evolutionary computing to time-series econometrics, this edition covers contemporary developments in computational finance. The book examines how interdisciplinary contributions from applied mathematics, statistics, and engineering can be adapted to a problem-solving approach in finance with an emphasis on vexing, but identifiable, real-world problems.

Author : Antoine Savine
Publisher : John Wiley & Sons
ISBN 13 : 1119539455
Total Pages : 592 pages
Book Rating : 4.52/5 ( download)

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Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2018-11-20 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.

Author : Francesco Cesarone
Publisher : Routledge
ISBN 13 : 1000169030
Total Pages : 284 pages
Book Rating : 4.34/5 ( download)

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Download or read book Computational Finance written by Francesco Cesarone and published by Routledge. This book was released on 2020-06-11 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not available. Consequently, we need to rely on computational techniques and specific numerical algorithms. This book combines theoretical concepts with practical implementation. Furthermore, the numerical solution of models is exploited, both to enhance the understanding of some mathematical and statistical notions, and to acquire sound programming skills in MATLAB®, which is useful for several other programming languages also. The material assumes the reader has a relatively limited knowledge of mathematics, probability, and statistics. Hence, the book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where the author includes an overview of recent approaches. The book gradually takes the reader from a basic to medium level of expertise by using examples and exercises to simplify the understanding of complex models in finance, giving them the ability to place financial models in a computational setting. The book is ideal for courses focusing on quantitative finance, asset management, mathematical methods for economics and finance, investment banking, and corporate finance.

Author : Matthias Ehrhardt
Publisher : Springer
ISBN 13 : 3319612824
Total Pages : 606 pages
Book Rating : 4.29/5 ( download)

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Download or read book Novel Methods in Computational Finance written by Matthias Ehrhardt and published by Springer. This book was released on 2017-09-19 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Author : Rangan Gupta
Publisher : Springer Nature
ISBN 13 : 3031380746
Total Pages : 642 pages
Book Rating : 4.47/5 ( download)

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Download or read book Recent Advancements in Computational Finance and Business Analytics written by Rangan Gupta and published by Springer Nature. This book was released on 2023-10-29 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent Advancements of Computational Finance and Business Analytics provide a comprehensive overview of the cutting-edge advancements in this dynamic field. By embracing computational finance and business analytics, organizations can gain a competitive edge in an increasingly data-driven and complex business environment. This book has explored the latest developments and breakthroughs in this rapidly evolving domain, providing a comprehensive overview of the current state of computational finance and business analytics. It covers the following dimensions of this domains: Business Analytics Financial Analytics Human Resource Analytics Marketing Analytics

Author : Antoine Savine
Publisher : John Wiley & Sons
ISBN 13 : 111954078X
Total Pages : 295 pages
Book Rating : 4.86/5 ( download)

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Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2021-11-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: An incisive and essential guide to building a complete system for derivative scripting In Volume 2 of Modern Computational Finance Scripting for Derivatives and xVA, quantitative finance experts and practitioners Drs. Antoine Savine and Jesper Andreasen deliver an indispensable and insightful roadmap to the interrogation, aggregation, and manipulation of cash-flows in a variety of ways. The book demonstrates how to facilitate portfolio-wide risk assessment and regulatory calculations (like xVA). Complete with a professional scripting library written in modern C++, this stand-alone volume walks readers through the construction of a comprehensive risk and valuation tool. This essential book also offers: Effective strategies for improving scripting libraries, from basic examples—like support for dates and vectors—to advanced improvements, including American Monte Carlo techniques Exploration of the concepts of fuzzy logic and risk sensitivities, including support for smoothing and condition domains Discussion of the application of scripting to xVA, complete with a full treatment of branching Perfect for quantitative analysts, risk professionals, system developers, derivatives traders, and financial analysts, Modern Computational Finance Scripting for Derivatives and xVA: Volume 2 is also a must-read resource for students and teachers in master’s and PhD finance programs.

Author : Ali Hirsa
Publisher : Chapman & Hall CRC Press
ISBN 13 : 9781032786636
Total Pages : 0 pages
Book Rating : 4.39/5 ( download)

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Download or read book Computational Methods in Finance written by Ali Hirsa and published by Chapman & Hall CRC Press. This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Computational Methods in Finance is a book 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. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning"--