Springer Handbooks of Computational Statistics

Handbook of Computational Finance

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

  • 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
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About this book

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.

About the authors

Jin-Chuan Duan is the Director of Risk Management Institute at the National University of Singapore (NUS) and concurrently holds the Cycle & Carriage Professorship in Finance at the NUS Business School. Duan received his Ph.D. in Finance from the University of Wisconsin-Madison. He specializes in financial engineering and risk management, and is known for his work on the GARCH option pricing model. Duan is an Academician of Academia Sinica.

Wolfgang Karl Härdle is professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. – the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.

James E. Gentle is University Professor of Computational Statistics at George Mason University.  His research interests include Monte Carlo methods and computational finance.  He is an elected member of ISI and a Fellow of the American Statistical Association.

Reviews

From the reviews:

“This handbook provides a carefully chosen survey of the concepts and methods of computational finance, ranging from basic background material through the current frontier of research … . This handbook is an authoritative and valuable account of an important field. I am sure that it will be an important reference source for researchers and practitioners.” (Lasse Koskinen, International Statistical Review, Vol. 81 (3), 2014)

Table of contents (29 chapters)

  • Computational Finance: An Introduction

    Duan, Jin-Chuan (et al.)

    Pages 3-11

  • Modeling Asset Prices

    Gentle, James E. (et al.)

    Pages 15-33

  • Diffusion Models of Asset Prices

    Detemple, Jérôme (et al.)

    Pages 35-60

  • Jump-Diffusion Models Driven by Lévy Processes

    Figueroa-López, José E.

    Pages 61-88

  • Multivariate Time Series Models for Asset Prices

    Hafner, Christian M. (et al.)

    Pages 89-115

Buy this book

eBook $259.00
price for USA (gross)
  • ISBN 978-3-642-17254-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $329.00
price for USA
  • ISBN 978-3-642-17253-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Handbook of Computational Finance
Editors
  • Jin-Chuan Duan
  • Wolfgang Karl Härdle
  • James E. Gentle
Series Title
Springer Handbooks of Computational Statistics
Copyright
2012
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-17254-0
DOI
10.1007/978-3-642-17254-0
Hardcover ISBN
978-3-642-17253-3
Series ISSN
2197-9790
Edition Number
1
Number of Pages
XI, 804
Topics