Handbook of Computational and Numerical Methods in Finance

Editors: Rachev, Svetlozar T., Anastassiou, George A. (Eds.)

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About this book

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. 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 and survey articles focusing on various numerical methods in finance.

Key topics covered include: methodological issues, i.e., genetic algorithms, neural networks, Monte–Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors.

Contributors: K. Amir-Atefi; Z. Atakhanova; A. Biglova; O.J. Blaskowitz; D. D’Souza; W.K. Härdle; I. Huber; I. Khindanova; A. Kohatsu-Higa; P. Kokoszka; M. Montero; S. Ortobelli; E. Özturkmen; G. Pagès; A. Parfionovas; H. Pham; J. Printems; S. Rachev; B. Racheva-Jotova; F. Schlottmann; P. Schmidt; D. Seese; S. Stoyanov; C.E. Testuri; S. Trück; S. Uryasev; and Z. Zheng.

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


Table of contents (12 chapters)

  • Skewness and Kurtosis Trades

    Blaskowitz, Oliver J. (et al.)

    Pages 1-14

  • Valuation of a Credit Spread Put Option: The Stable Paretian model with Copulas

    D’Souza, Dylan (et al.)

    Pages 15-69

  • GARCH-Type Processes in Modeling Energy Prices

    Khindanova, Irina (et al.)

    Pages 71-110

  • Malliavin Calculus in Finance

    Kohatsu-Higa, Arturo (et al.)

    Pages 111-174

  • Bootstrap Unit Root Tests for Heavy-Tailed Time Series

    Kokoszka, Piotr (et al.)

    Pages 175-195

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-0-8176-8180-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-0-8176-3219-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $125.00
price for USA
  • ISBN 978-1-4612-6476-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Handbook of Computational and Numerical Methods in Finance
Editors
  • George A. Anastassiou
  • Svetlozar T. Rachev
Copyright
2004
Publisher
Birkhäuser Basel
Copyright Holder
Birkhäser Boston
eBook ISBN
978-0-8176-8180-7
DOI
10.1007/978-0-8176-8180-7
Hardcover ISBN
978-0-8176-3219-9
Softcover ISBN
978-1-4612-6476-7
Edition Number
1
Number of Pages
IX, 435
Topics