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Nonparametric Finance

Author : Jussi Klemelä
Publisher : John Wiley & Sons
ISBN 13 : 111940911X
Total Pages : 703 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Nonparametric Finance by : Jussi Klemelä

Download or read book Nonparametric Finance written by Jussi Klemelä and published by John Wiley & Sons. This book was released on 2018-02-23 with total page 703 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Machine Learning in Finance, With Mathematical Background, Data Visualization, and R Nonparametric function estimation is an important part of machine learning, which is becoming increasingly important in quantitative finance. Nonparametric Finance provides graduate students and finance professionals with a foundation in nonparametric function estimation and the underlying mathematics. Combining practical applications, mathematically rigorous presentation, and statistical data analysis into a single volume, this book presents detailed instruction in discrete chapters that allow readers to dip in as needed without reading from beginning to end. Coverage includes statistical finance, risk management, portfolio management, and securities pricing to provide a practical knowledge base, and the introductory chapter introduces basic finance concepts for readers with a strictly mathematical background. Economic significance is emphasized over statistical significance throughout, and R code is provided to help readers reproduce the research, computations, and figures being discussed. Strong graphical content clarifies the methods and demonstrates essential visualization techniques, while deep mathematical and statistical insight backs up practical applications. Written for the leading edge of finance, Nonparametric Finance: • Introduces basic statistical finance concepts, including univariate and multivariate data analysis, time series analysis, and prediction • Provides risk management guidance through volatility prediction, quantiles, and value-at-risk • Examines portfolio theory, performance measurement, Markowitz portfolios, dynamic portfolio selection, and more • Discusses fundamental theorems of asset pricing, Black-Scholes pricing and hedging, quadratic pricing and hedging, option portfolios, interest rate derivatives, and other asset pricing principles • Provides supplementary R code and numerous graphics to reinforce complex content Nonparametric function estimation has received little attention in the context of risk management and option pricing, despite its useful applications and benefits. This book provides the essential background and practical knowledge needed to take full advantage of these little-used methods, and turn them into real-world advantage. Jussi Klemelä, PhD, is Adjunct Professor at the University of Oulu. His research interests include nonparametric function estimation, density estimation, and data visualization. He is the author of Smoothing of Multivariate Data: Density Estimation and Visualization and Multivariate Nonparametric Regression and Visualization: With R and Applications to Finance.

Recent Developments in Applied Probability and Statistics

Author : Luc Devroye
Publisher : Springer Science & Business Media
ISBN 13 : 3790825980
Total Pages : 242 pages
Book Rating : 4.7/5 (98 download)

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Book Synopsis Recent Developments in Applied Probability and Statistics by : Luc Devroye

Download or read book Recent Developments in Applied Probability and Statistics written by Luc Devroye and published by Springer Science & Business Media. This book was released on 2010-05-19 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to Professor Jürgen Lehn, who passed away on September 29, 2008, at the age of 67. It contains invited papers that were presented at the Wo- shop on Recent Developments in Applied Probability and Statistics Dedicated to the Memory of Professor Jürgen Lehn, Middle East Technical University (METU), Ankara, April 23–24, 2009, which was jointly organized by the Technische Univ- sität Darmstadt (TUD) and METU. The papers present surveys on recent devel- ments in the area of applied probability and statistics. In addition, papers from the Panel Discussion: Impact of Mathematics in Science, Technology and Economics are included. Jürgen Lehn was born on the 28th of April, 1941 in Karlsruhe. From 1961 to 1968 he studied mathematics in Freiburg and Karlsruhe, and obtained a Diploma in Mathematics from the University of Karlsruhe in 1968. He obtained his Ph.D. at the University of Regensburg in 1972, and his Habilitation at the University of Karlsruhe in 1978. Later in 1978, he became a C3 level professor of Mathematical Statistics at the University of Marburg. In 1980 he was promoted to a C4 level professorship in mathematics at the TUD where he was a researcher until his death.

The Numerical Solution of the American Option Pricing Problem

Author : Carl Chiarella
Publisher : World Scientific
ISBN 13 : 9814452629
Total Pages : 223 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis The Numerical Solution of the American Option Pricing Problem by : Carl Chiarella

Download or read book The Numerical Solution of the American Option Pricing Problem written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers'' experiences with these approaches over the years. Contents: Introduction; The Merton and Heston Model for a Call; American Call Options under Jump-Diffusion Processes; American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics OCo The Transform Approach; Representation and Numerical Approximation of American Option Prices under Heston; Fourier Cosine Expansion Approach; A Numerical Approach to Pricing American Call Options under SVJD; Conclusion; Bibliography; Index; About the Authors. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. Key Features: Complete discussion of different numerical methods for American options; Able to handle stochastic volatility and/or jump diffusion dynamics; Able to produce hedge ratios efficiently and accurately"

Computational Finance 1999

Author : Yaser S. Abu-Mostafa
Publisher : MIT Press
ISBN 13 : 9780262511070
Total Pages : 744 pages
Book Rating : 4.5/5 (11 download)

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Book Synopsis Computational Finance 1999 by : Yaser S. Abu-Mostafa

Download or read book Computational Finance 1999 written by Yaser S. Abu-Mostafa and published by MIT Press. This book was released on 2000 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.

Nonparametric Statistics

Author : Michele La Rocca
Publisher : Springer Nature
ISBN 13 : 3030573060
Total Pages : 547 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Nonparametric Statistics by : Michele La Rocca

Download or read book Nonparametric Statistics written by Michele La Rocca and published by Springer Nature. This book was released on 2020-11-11 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highlighting the latest advances in nonparametric and semiparametric statistics, this book gathers selected peer-reviewed contributions presented at the 4th Conference of the International Society for Nonparametric Statistics (ISNPS), held in Salerno, Italy, on June 11-15, 2018. It covers theory, methodology, applications and computational aspects, addressing topics such as nonparametric curve estimation, regression smoothing, models for time series and more generally dependent data, varying coefficient models, symmetry testing, robust estimation, and rank-based methods for factorial design. It also discusses nonparametric and permutation solutions for several different types of data, including ordinal data, spatial data, survival data and the joint modeling of both longitudinal and time-to-event data, permutation and resampling techniques, and practical applications of nonparametric statistics. The International Society for Nonparametric Statistics is a unique global organization, and its international conferences are intended to foster the exchange of ideas and the latest advances and trends among researchers from around the world and to develop and disseminate nonparametric statistics knowledge. The ISNPS 2018 conference in Salerno was organized with the support of the American Statistical Association, the Institute of Mathematical Statistics, the Bernoulli Society for Mathematical Statistics and Probability, the Journal of Nonparametric Statistics and the University of Salerno.

Statistical Models and Methods for Financial Markets

Author : Tze Leung Lai
Publisher : Springer Science & Business Media
ISBN 13 : 0387778268
Total Pages : 363 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Statistical Models and Methods for Financial Markets by : Tze Leung Lai

Download or read book Statistical Models and Methods for Financial Markets written by Tze Leung Lai and published by Springer Science & Business Media. This book was released on 2008-07-25 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.

Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches

Author : Carl Chiarella
Publisher : World Scientific
ISBN 13 : 9814452637
Total Pages : 223 pages
Book Rating : 4.8/5 (144 download)

DOWNLOAD NOW!

Book Synopsis Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches by : Carl Chiarella

Download or read book Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.

Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)

Author : Khaled Elbagory
Publisher : Springer Nature
ISBN 13 : 9464634081
Total Pages : 725 pages
Book Rating : 4.4/5 (646 download)

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Book Synopsis Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) by : Khaled Elbagory

Download or read book Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) written by Khaled Elbagory and published by Springer Nature. This book was released on 2024 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt:

All of Nonparametric Statistics

Author : Larry Wasserman
Publisher : Springer Science & Business Media
ISBN 13 : 0387306234
Total Pages : 272 pages
Book Rating : 4.3/5 (873 download)

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Book Synopsis All of Nonparametric Statistics by : Larry Wasserman

Download or read book All of Nonparametric Statistics written by Larry Wasserman and published by Springer Science & Business Media. This book was released on 2006-09-10 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides the reader with a single book where they can find accounts of a number of up-to-date issues in nonparametric inference. The book is aimed at Masters or PhD level students in statistics, computer science, and engineering. It is also suitable for researchers who want to get up to speed quickly on modern nonparametric methods. It covers a wide range of topics including the bootstrap, the nonparametric delta method, nonparametric regression, density estimation, orthogonal function methods, minimax estimation, nonparametric confidence sets, and wavelets. The book’s dual approach includes a mixture of methodology and theory.

Encyclopedia of Information Science and Technology, First Edition

Author : Khosrow-Pour, D.B.A., Mehdi
Publisher : IGI Global
ISBN 13 : 159140794X
Total Pages : 3807 pages
Book Rating : 4.5/5 (914 download)

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Book Synopsis Encyclopedia of Information Science and Technology, First Edition by : Khosrow-Pour, D.B.A., Mehdi

Download or read book Encyclopedia of Information Science and Technology, First Edition written by Khosrow-Pour, D.B.A., Mehdi and published by IGI Global. This book was released on 2005-01-31 with total page 3807 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprehensive coverage of critical issues related to information science and technology.

Time Series and Related Topics

Author : Ching-Zong Wei
Publisher : IMS
ISBN 13 : 9780940600683
Total Pages : 314 pages
Book Rating : 4.6/5 (6 download)

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Book Synopsis Time Series and Related Topics by : Ching-Zong Wei

Download or read book Time Series and Related Topics written by Ching-Zong Wei and published by IMS. This book was released on 2006 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Recent Advances in Financial Engineering

Author : Masaaki Kijima
Publisher : World Scientific
ISBN 13 : 9814366021
Total Pages : 258 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Recent Advances in Financial Engineering by : Masaaki Kijima

Download or read book Recent Advances in Financial Engineering written by Masaaki Kijima and published by World Scientific. This book was released on 2011 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU).The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers ? all refereed ? representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.

American-Type Options

Author : Dmitrii S. Silvestrov
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110329840
Total Pages : 572 pages
Book Rating : 4.1/5 (13 download)

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Book Synopsis American-Type Options by : Dmitrii S. Silvestrov

Download or read book American-Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2014-12-17 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.

Market-Conform Valuation of Options

Author : Tobias Herwig
Publisher : Taylor & Francis
ISBN 13 : 9783540308379
Total Pages : 120 pages
Book Rating : 4.3/5 (83 download)

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Book Synopsis Market-Conform Valuation of Options by : Tobias Herwig

Download or read book Market-Conform Valuation of Options written by Tobias Herwig and published by Taylor & Francis. This book was released on 2006-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.

Applied Nonparametric Econometrics

Author : Daniel J. Henderson
Publisher : Cambridge University Press
ISBN 13 : 110701025X
Total Pages : 381 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Applied Nonparametric Econometrics by : Daniel J. Henderson

Download or read book Applied Nonparametric Econometrics written by Daniel J. Henderson and published by Cambridge University Press. This book was released on 2015-01-19 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The majority of empirical research in economics ignores the potential benefits of nonparametric methods, while the majority of advances in nonparametric theory ignores the problems faced in applied econometrics. This book helps bridge this gap between applied economists and theoretical nonparametric econometricians. It discusses in depth, and in terms that someone with only one year of graduate econometrics can understand, basic to advanced nonparametric methods. The analysis starts with density estimation and motivates the procedures through methods that should be familiar to the reader. It then moves on to kernel regression, estimation with discrete data, and advanced methods such as estimation with panel data and instrumental variables models. The book pays close attention to the issues that arise with programming, computing speed, and application. In each chapter, the methods discussed are applied to actual data, paying attention to presentation of results and potential pitfalls.

Financial Econometrics, Mathematics and Statistics

Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 1493994298
Total Pages : 657 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Financial Econometrics, Mathematics and Statistics by : Cheng-Few Lee

Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.