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Author : Chiaka Okoroh
Publisher :
ISBN 13 :
Total Pages : 246 pages
Book Rating : 4.:/5 (665 download)
Download or read book Option Pricing Using Kernel Based Approximation Methods written by Chiaka Okoroh and published by . This book was released on 2010 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregory E Fasshauer
Publisher : World Scientific Publishing Company
ISBN 13 : 9814630152
Total Pages : 537 pages
Book Rating : 4.8/5 (146 download)
Download or read book Kernel-based Approximation Methods Using Matlab written by Gregory E Fasshauer and published by World Scientific Publishing Company. This book was released on 2015-07-30 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an attempt to introduce application scientists and graduate students to the exciting topic of positive definite kernels and radial basis functions, this book presents modern theoretical results on kernel-based approximation methods and demonstrates their implementation in various settings. The authors explore the historical context of this fascinating topic and explain recent advances as strategies to address long-standing problems. Examples are drawn from fields as diverse as function approximation, spatial statistics, boundary value problems, machine learning, surrogate modeling and finance. Researchers from those and other fields can recreate the results within using the documented MATLAB code, also available through the online library. This combination of a strong theoretical foundation and accessible experimentation empowers readers to use positive definite kernels on their own problems of interest.
Author : Fuchun Sun
Publisher : Springer
ISBN 13 : 3540877320
Total Pages : 939 pages
Book Rating : 4.5/5 (48 download)
Download or read book Advances in Neural Networks written by Fuchun Sun and published by Springer. This book was released on 2008-09-08 with total page 939 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two volume set LNCS 5263/5264 constitutes the refereed proceedings of the 5th International Symposium on Neural Networks, ISNN 2008, held in Beijing, China in September 2008. The 192 revised papers presented were carefully reviewed and selected from a total of 522 submissions. The papers are organized in topical sections on computational neuroscience; cognitive science; mathematical modeling of neural systems; stability and nonlinear analysis; feedforward and fuzzy neural networks; probabilistic methods; supervised learning; unsupervised learning; support vector machine and kernel methods; hybrid optimisation algorithms; machine learning and data mining; intelligent control and robotics; pattern recognition; audio image processinc and computer vision; fault diagnosis; applications and implementations; applications of neural networks in electronic engineering; cellular neural networks and advanced control with neural networks; nature inspired methods of high-dimensional discrete data analysis; pattern recognition and information processing using neural networks.
Author : Florin Adrian Radu
Publisher : Springer
ISBN 13 : 3319964151
Total Pages : 1070 pages
Book Rating : 4.3/5 (199 download)
Download or read book Numerical Mathematics and Advanced Applications ENUMATH 2017 written by Florin Adrian Radu and published by Springer. This book was released on 2019-01-05 with total page 1070 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects many of the presented papers, as plenary presentations, mini-symposia invited presentations, or contributed talks, from the European Conference on Numerical Mathematics and Advanced Applications (ENUMATH) 2017. The conference was organized by the University of Bergen, Norway from September 25 to 29, 2017. Leading experts in the field presented the latest results and ideas in the designing, implementation, and analysis of numerical algorithms as well as their applications to relevant, societal problems. ENUMATH is a series of conferences held every two years to provide a forum for discussing basic aspects and new trends in numerical mathematics and scientific and industrial applications. These discussions are upheld at the highest level of international expertise. The first ENUMATH conference was held in Paris in 1995 with successive conferences being held at various locations across Europe, including Heidelberg (1997), Jyvaskyla (1999), lschia Porto (2001), Prague (2003), Santiago de Compostela (2005), Graz (2007), Uppsala (2009), Leicester (2011), Lausanne (2013), and Ankara (2015).
Author : Jordan Hristov
Publisher : MDPI
ISBN 13 : 303842983X
Total Pages : 139 pages
Book Rating : 4.0/5 (384 download)
Download or read book The Craft of Fractional Modelling in Science and Engineering written by Jordan Hristov and published by MDPI. This book was released on 2018-06-22 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "The Craft of Fractional Modelling in Science and Engineering" that was published in Fractal Fract
Author : Yue Kuen Kwok
Publisher : CRC Press
ISBN 13 : 1000584259
Total Pages : 283 pages
Book Rating : 4.0/5 (5 download)
Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Author : Cris Doloc
Publisher : John Wiley & Sons
ISBN 13 : 1119550513
Total Pages : 313 pages
Book Rating : 4.1/5 (195 download)
Download or read book Applications of Computational Intelligence in Data-Driven Trading written by Cris Doloc and published by John Wiley & Sons. This book was released on 2019-11-05 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Life on earth is filled with many mysteries, but perhaps the most challenging of these is the nature of Intelligence.” – Prof. Terrence J. Sejnowski, Computational Neurobiologist The main objective of this book is to create awareness about both the promises and the formidable challenges that the era of Data-Driven Decision-Making and Machine Learning are confronted with, and especially about how these new developments may influence the future of the financial industry. The subject of Financial Machine Learning has attracted a lot of interest recently, specifically because it represents one of the most challenging problem spaces for the applicability of Machine Learning. The author has used a novel approach to introduce the reader to this topic: The first half of the book is a readable and coherent introduction to two modern topics that are not generally considered together: the data-driven paradigm and Computational Intelligence. The second half of the book illustrates a set of Case Studies that are contemporarily relevant to quantitative trading practitioners who are dealing with problems such as trade execution optimization, price dynamics forecast, portfolio management, market making, derivatives valuation, risk, and compliance. The main purpose of this book is pedagogical in nature, and it is specifically aimed at defining an adequate level of engineering and scientific clarity when it comes to the usage of the term “Artificial Intelligence,” especially as it relates to the financial industry. The message conveyed by this book is one of confidence in the possibilities offered by this new era of Data-Intensive Computation. This message is not grounded on the current hype surrounding the latest technologies, but on a deep analysis of their effectiveness and also on the author’s two decades of professional experience as a technologist, quant and academic.
Author : Warren B. Powell
Publisher : John Wiley & Sons
ISBN 13 : 1119815037
Total Pages : 1090 pages
Book Rating : 4.1/5 (198 download)
Download or read book Reinforcement Learning and Stochastic Optimization written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2022-03-15 with total page 1090 pages. Available in PDF, EPUB and Kindle. Book excerpt: REINFORCEMENT LEARNING AND STOCHASTIC OPTIMIZATION Clearing the jungle of stochastic optimization Sequential decision problems, which consist of “decision, information, decision, information,” are ubiquitous, spanning virtually every human activity ranging from business applications, health (personal and public health, and medical decision making), energy, the sciences, all fields of engineering, finance, and e-commerce. The diversity of applications attracted the attention of at least 15 distinct fields of research, using eight distinct notational systems which produced a vast array of analytical tools. A byproduct is that powerful tools developed in one community may be unknown to other communities. Reinforcement Learning and Stochastic Optimization offers a single canonical framework that can model any sequential decision problem using five core components: state variables, decision variables, exogenous information variables, transition function, and objective function. This book highlights twelve types of uncertainty that might enter any model and pulls together the diverse set of methods for making decisions, known as policies, into four fundamental classes that span every method suggested in the academic literature or used in practice. Reinforcement Learning and Stochastic Optimization is the first book to provide a balanced treatment of the different methods for modeling and solving sequential decision problems, following the style used by most books on machine learning, optimization, and simulation. The presentation is designed for readers with a course in probability and statistics, and an interest in modeling and applications. Linear programming is occasionally used for specific problem classes. The book is designed for readers who are new to the field, as well as those with some background in optimization under uncertainty. Throughout this book, readers will find references to over 100 different applications, spanning pure learning problems, dynamic resource allocation problems, general state-dependent problems, and hybrid learning/resource allocation problems such as those that arose in the COVID pandemic. There are 370 exercises, organized into seven groups, ranging from review questions, modeling, computation, problem solving, theory, programming exercises and a “diary problem” that a reader chooses at the beginning of the book, and which is used as a basis for questions throughout the rest of the book.
Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)
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
Author : Colin Turfus
Publisher : John Wiley & Sons
ISBN 13 : 1119609615
Total Pages : 256 pages
Book Rating : 4.1/5 (196 download)
Download or read book Perturbation Methods in Credit Derivatives written by Colin Turfus and published by John Wiley & Sons. This book was released on 2021-03-15 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments. Author and experienced financial engineer Dr. Colin Turfus has created an approach that allows model validators to perform rapid benchmarking of risk and pricing models while making the most efficient use possible of computing resources. The book provides innumerable benefits to a wide range of quantitative financial experts attempting to comply with increasingly burdensome regulatory stress-testing requirements, including: Replacing time-consuming Monte Carlo simulations with faster, simpler pricing algorithms for front-office quants Allowing CVA quants to quantify the impact of counterparty risk, including wrong-way correlation risk, more efficiently Developing more efficient algorithms for generating stress scenarios for market risk quants Obtaining more intuitive analytic pricing formulae which offer a clearer intuition of the important relationships among market parameters, modelling assumptions and trade/portfolio characteristics for traders The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVA/DVA calculations and contingent credit default swap pricing.
Author : Yves Achdou
Publisher : SIAM
ISBN 13 : 9780898717495
Total Pages : 315 pages
Book Rating : 4.7/5 (174 download)
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.
Author : Maryam Farsi
Publisher : Springer
ISBN 13 : 3030187322
Total Pages : 212 pages
Book Rating : 4.0/5 (31 download)
Download or read book Digital Twin Technologies and Smart Cities written by Maryam Farsi and published by Springer. This book was released on 2019-07-22 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a holistic perspective on Digital Twin (DT) technologies, and presents cutting-edge research in the field. It assesses the opportunities that DT can offer for smart cities, and covers the requirements for ensuring secure, safe and sustainable smart cities. Further, the book demonstrates that DT and its benefits with regard to: data visualisation, real-time data analytics, and learning leading to improved confidence in decision making; reasoning, monitoring and warning to support accurate diagnostics and prognostics; acting using edge control and what-if analysis; and connection with back-end business applications hold significant potential for applications in smart cities, by employing a wide range of sensory and data-acquisition systems in various parts of the urban infrastructure. The contributing authors reveal how and why DT technologies that are used for monitoring, visualising, diagnosing and predicting in real-time are vital to cities’ sustainability and efficiency. The concepts outlined in the book represents a city together with all of its infrastructure elements, which communicate with each other in a complex manner. Moreover, securing Internet of Things (IoT) which is one of the key enablers of DT’s is discussed in details and from various perspectives. The book offers an outstanding reference guide for practitioners and researchers in manufacturing, operations research and communications, who are considering digitising some of their assets and related services. It is also a valuable asset for graduate students and academics who are looking to identify research gaps and develop their own proposals for further research.
Author : Carl Chiarella
Publisher : World Scientific
ISBN 13 : 9814452629
Total Pages : 223 pages
Book Rating : 4.8/5 (144 download)
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"
Author : Lars Stentoft
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Value Function Approximation Or Stopping Time Approximation written by Lars Stentoft and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and since then the method has rapidly gained importance. However, the idea of using regression and simulation for American option pricing was used at least as early as in Carriere (1996). In the present paper we provide a thorough comparison of these two methods and relate them to the work of Tsitsiklis and Van Roy (2001). Although the methods are often considered to be similar this analysis allows us to point out an important but often overlooked difference between the methods. The paper further shows that due to this difference it is possible to provide arguments favoring the method suggested in Longstaff and Schwartz (2001). Finally, the paper compares the methods in a realistic numerical setting and shows that the practitioner does well in choosing the method of Longstaff and Schwartz (2001) instead of the methods of Carriere (1996) or Tsitsiklis and Van Roy (2001) for American option pricing.
Author : John Lee
Publisher : Springer Nature
ISBN 13 : 3031142837
Total Pages : 521 pages
Book Rating : 4.0/5 (311 download)
Download or read book Essentials of Excel VBA, Python, and R written by John Lee and published by Springer Nature. This book was released on 2023-03-23 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced textbook for business statistics teaches, statistical analyses and research methods utilizing business case studies and financial data with the applications of Excel VBA, Python and R. Each chapter engages the reader with sample data drawn from individual stocks, stock indices, options, and futures. Now in its second edition, it has been expanded into two volumes, each of which is devoted to specific parts of the business analytics curriculum. To reflect the current age of data science and machine learning, the used applications have been updated from Minitab and SAS to Python and R, so that readers will be better prepared for the current industry. This second volume is designed for advanced courses in financial derivatives, risk management, and machine learning and financial management. In this volume we extensively use Excel, Python, and R to analyze the above-mentioned topics. It is also a comprehensive reference for active statistical finance scholars and business analysts who are looking to upgrade their toolkits. Readers can look to the first volume for dedicated content on financial statistics, and portfolio analysis.
Author : Marie-Jeanne Lesot
Publisher : Springer Nature
ISBN 13 : 3030543412
Total Pages : 305 pages
Book Rating : 4.0/5 (35 download)
Download or read book Fuzzy Approaches for Soft Computing and Approximate Reasoning: Theories and Applications written by Marie-Jeanne Lesot and published by Springer Nature. This book was released on 2020-10-26 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers cutting-edge papers in the area of Computational Intelligence, presented by specialists, and covering all major trends in the research community in order to provide readers with a rich primer. It presents an overview of various soft computing topics and approximate reasoning-based approaches, both from theoretical and applied perspectives. Numerous topics are covered: fundamentals aspects of fuzzy sets theory, reasoning approaches (interpolative, analogical, similarity-based), decision and optimization theory, fuzzy databases, soft machine learning, summarization, interpretability and XAI. Moreover, several application-based papers are included, e.g. on image processing, semantic web and intelligent tutoring systems. This book is dedicated to Bernadette Bouchon-Meunier in honor of her achievements in Computational Intelligence, which, throughout her career, have included profuse and diverse collaborations, both thematically and geographically.
Author : Alexandre Antonov
Publisher : Springer
ISBN 13 : 303010656X
Total Pages : 127 pages
Book Rating : 4.0/5 (31 download)
Download or read book Modern SABR Analytics written by Alexandre Antonov and published by Springer. This book was released on 2019-04-23 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with additional degrees of freedom, allowing simultaneous model calibration to swaptions and CMSs. Since the SABR model is used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia. Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance.
