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Statistics - Business, Economics & Finance | Handbook of Computational Finance

Handbook of Computational Finance

Duan, Jin-Chuan, Härdle, Wolfgang Karl, Gentle, James E. (Eds.)

2012, XI, 804 p. 189 illus., 7 illus. in color.

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  • Latest volume in the Springer Handbooks of Computational Statistics series
  • Addresses the broad application of computational statistics to the world of finance
  • Covers Modern financial Tools; Computational efficient algorithms; Pricing of complex products; Risk behavior; Pricing kernels and more

Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Content Level » Graduate

Keywords » Computational Finance - Computational Statistics - Efficient Numerics - Financial Engineering - Price Calibration

Related subjects » Business, Economics & Finance - Computational Science & Engineering - Finance & Banking

Table of contents 

Introduction.- Pricing Models.- Statistical Inference in Financial Models.- Computational Methods.- Software Tools.- Possible further Topics: Realized Volatility/High Frequency Data.-Microstructure Empirical Analysis.- Option Pricing.- GARCH and Diffusion Jump Limits.- Interest Rate Derivatives.

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