Overview
- Editors:
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Svetlozar T. Rachev
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Department of Statistics and Applied Probability, University of California, Santa Barbara, USA
Department of Economics and Business Engineering, Universität Karlsruhe, Karlsruhe, Germany
- Presents current research and survey articles focusing on various computational and numerical methods in finance
- Designed for the academic community and will also serve professional investors
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Table of contents (12 chapters)
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- Oliver J. Blaskowitz, Wolfgang K. Härdle, Peter Schmidt
Pages 1-14
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- Dylan D’Souza, Key van Amir-Atefi, Borjana Racheva-Jotova
Pages 15-69
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- Irina Khindanova, Zauresh Atakhanova, Svetlozar Rachev
Pages 71-110
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- Arturo Kohatsu-Higa, Miquel Montero
Pages 111-174
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- Piotr Kokoszka, Andrejus Parfionovas
Pages 175-195
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- Sergio Ortobelli, Svetlozar Rachev, Isabella Huber, Almira Biglova
Pages 197-252
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- Gilles Pagès, Huyên Pham, Jacques Printems
Pages 253-297
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- Stoyan Stoyanov, Borjana Racheva-Jotova
Pages 299-329
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- Frank Schlottmann, Detlef Seese
Pages 331-359
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- Carlos E. Testuri, Stanislav Uryasev
Pages 361-372
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- Stefan Trück, Emrah Özturkmen
Pages 373-402
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Back Matter
Pages 431-435
About this book
Numerical Methods in Finance have recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. They bridge the gap between financial theory and computational practice and provide solutions to problems where analytical methods are often non-applicable. Numerical methods are more and more used in several topics of financial analy sis: computation of complex derivatives; market, credit and operational risk assess ment, asset liability management, optimal portfolio theory, financial econometrics and others. 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 focusing on various numerical methods in finance. The contributions cover methodological issues. Genetic Algorithms, Neural Net works, Monte-Carlo methods, Finite Difference Methods, Stochastic Portfolio Opti mization as well as the application of other numerical methods in finance and risk management. As editor, I am grateful to the contributors for their fruitful collaboration. I would particularly like to thankStefan Trueck and Carlo Marinelli for the excellent editorial assistance received over the progress of this project. Thomas Plum did a splendid word-processingjob in preparing the manuscript. lowe much to George Anastassiou (ConsultantEditor, Birkhauser) and Ann Kostant Executive Editor, Mathematics and Physics, Birkhauser for their help and encouragement.
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
Editors and Affiliations
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Department of Statistics and Applied Probability, University of California, Santa Barbara, USA
Svetlozar T. Rachev
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Department of Economics and Business Engineering, Universität Karlsruhe, Karlsruhe, Germany
Svetlozar T. Rachev