Advances in Modeling and Simulation

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Author :
Publisher : Springer Nature
ISBN 13 : 3031101936
Total Pages : 426 pages
Book Rating : 4.0/5 (311 download)

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Book Synopsis Advances in Modeling and Simulation by : Zdravko Botev

Download or read book Advances in Modeling and Simulation written by Zdravko Botev and published by Springer Nature. This book was released on 2022-11-30 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book celebrates the career of Pierre L’Ecuyer on the occasion of his 70th birthday. Pierre has made significant contributions to the fields of simulation, modeling, and operations research over the last 40 years. This book contains 20 chapters written by collaborators and experts in the field who, by sharing their latest results, want to recognize the lasting impact of Pierre’s work in their research area. The breadth of the topics covered reflects the remarkable versatility of Pierre's contributions, from deep theoretical results to practical and industry-ready applications. The Festschrift features article from the domains of Monte Carlo and quasi-Monte Carlo methods, Markov chains, sampling and low discrepancy sequences, simulation, rare events, graphics, finance, machine learning, stochastic processes, and tractability.

Computational Methods for Option Pricing

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Publisher : SIAM
ISBN 13 : 9780898717495
Total Pages : 315 pages
Book Rating : 4.7/5 (174 download)

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Book Synopsis Computational Methods for Option Pricing by : Yves Achdou

Download or read book Computational Methods for Option Pricing written by Yves Achdou and published by SIAM. This book was released on 2005-01-01 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.

A Workout in Computational Finance

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Publisher : John Wiley & Sons
ISBN 13 : 111997349X
Total Pages : 341 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis A Workout in Computational Finance by : Andreas Binder

Download or read book A Workout in Computational Finance written by Andreas Binder and published by John Wiley & Sons. This book was released on 2013-08-13 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem.

Advances in Mathematics of Finance

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Author :
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Advances in Mathematics of Finance by : Łukasz Stettner

Download or read book Advances in Mathematics of Finance written by Łukasz Stettner and published by . This book was released on 2008 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This volume contains 15 papers contributed by the participands of the 2nd General AMaMeF conference and Banach Center converence 'Advances in mathematics of finance' organized in Bȩdlewo, Poland from 30th April till 5th May, 2007. AMaMeF (Advances Mathematical Methods of Finance) is a scientific programme of the European Science Foundation for 2005-2010"--Preface (p. 5).

ESAIM.

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Author :
Publisher :
ISBN 13 :
Total Pages : 616 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis ESAIM. by :

Download or read book ESAIM. written by and published by . This book was released on 2004 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Lévy Processes

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Publisher : Springer Science & Business Media
ISBN 13 : 1461201977
Total Pages : 414 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Lévy Processes by : Ole E Barndorff-Nielsen

Download or read book Lévy Processes written by Ole E Barndorff-Nielsen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.

Handbook of Monte Carlo Methods

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Author :
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 784 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Handbook of Monte Carlo Methods by : Dirk P. Kroese

Download or read book Handbook of Monte Carlo Methods written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2011-03-15 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The purpose of this handbook is to provide an accessible and comprehensive compendium of Monte Carlo techniques and related topics. It contains a mix of theory (summarized), algorithms (pseudo and actual), and applications. Since the audience is broad, the theory is kept to a minimum, this without sacrificing rigor. The book is intended to be used as an essential guide to Monte Carlo methods to quickly look up ideas, procedures, formulas, pictures, etc., rather than purely a monograph for researchers or a textbook for students. As the popularity of these methods continues to grow, and new methods are developed in rapid succession, the staggering number of related techniques, ideas, concepts and algorithms makes it difficult to maintain an overall picture of the Monte Carlo approach. This book attempts to encapsulate the emerging dynamics of this field of study"--

Mathematical Modelling and Numerical Methods in Finance

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Publisher : Elsevier
ISBN 13 : 0080931006
Total Pages : 743 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Mathematical Modelling and Numerical Methods in Finance by : Alain Bensoussan

Download or read book Mathematical Modelling and Numerical Methods in Finance written by Alain Bensoussan and published by Elsevier. This book was released on 2009-06-16 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field

Monte Carlo Methods in Financial Engineering

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 0387216170
Total Pages : 603 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman

Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Stochastic Analysis for Finance with Simulations

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Publisher : Springer
ISBN 13 : 3319255894
Total Pages : 660 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Stochastic Analysis for Finance with Simulations by : Geon Ho Choe

Download or read book Stochastic Analysis for Finance with Simulations written by Geon Ho Choe and published by Springer. This book was released on 2016-07-14 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.

Option Pricing Models and Volatility Using Excel-VBA

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Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah

Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

Cambridge Tracts in Mathematics

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Publisher : Cambridge University Press
ISBN 13 : 9780521646321
Total Pages : 292 pages
Book Rating : 4.6/5 (463 download)

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Book Synopsis Cambridge Tracts in Mathematics by : Jean Bertoin

Download or read book Cambridge Tracts in Mathematics written by Jean Bertoin and published by Cambridge University Press. This book was released on 1996 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1996 book is a comprehensive account of the theory of Lévy processes; aimed at probability theorists.

Fractional Partial Differential Equations And Their Numerical Solutions

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Publisher : World Scientific
ISBN 13 : 9814667064
Total Pages : 347 pages
Book Rating : 4.8/5 (146 download)

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Book Synopsis Fractional Partial Differential Equations And Their Numerical Solutions by : Boling Guo

Download or read book Fractional Partial Differential Equations And Their Numerical Solutions written by Boling Guo and published by World Scientific. This book was released on 2015-03-09 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to introduce some new trends and results on the study of the fractional differential equations, and to provide a good understanding of this field to beginners who are interested in this field, which is the authors' beautiful hope.This book describes theoretical and numerical aspects of the fractional partial differential equations, including the authors' researches in this field, such as the fractional Nonlinear Schrödinger equations, fractional Landau-Lifshitz equations and fractional Ginzburg-Landau equations. It also covers enough fundamental knowledge on the fractional derivatives and fractional integrals, and enough background of the fractional PDEs.

The Complete Guide to Option Pricing Formulas

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Publisher : Professional Finance & Investment
ISBN 13 :
Total Pages : 586 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug

Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.

Handbook in Monte Carlo Simulation

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Publisher : John Wiley & Sons
ISBN 13 : 1118594517
Total Pages : 620 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis Handbook in Monte Carlo Simulation by : Paolo Brandimarte

Download or read book Handbook in Monte Carlo Simulation written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2014-06-20 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Systemic Contingent Claims Analysis

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Publisher : International Monetary Fund
ISBN 13 : 1475557531
Total Pages : 93 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Systemic Contingent Claims Analysis by : Mr.Andreas A. Jobst

Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.

Derivatives in Financial Markets with Stochastic Volatility

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Publisher : Cambridge University Press
ISBN 13 : 9780521791632
Total Pages : 222 pages
Book Rating : 4.7/5 (916 download)

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Book Synopsis Derivatives in Financial Markets with Stochastic Volatility by : Jean-Pierre Fouque

Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.