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Author: Yuh-Dauh Lyuu Publisher: Cambridge University Press ISBN: 9780521781718 Category : Business & Economics Languages : en Pages : 654
Book Description
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
Author: Yuh-Dauh Lyuu Publisher: Cambridge University Press ISBN: 9780521781718 Category : Business & Economics Languages : en Pages : 654
Book Description
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
Author: Yuh-Dauh Lyuu Publisher: Cambridge University Press ISBN: 1139431900 Category : Mathematics Languages : en Pages :
Book Description
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.
Author: Hitoshi Iba Publisher: Springer Science & Business Media ISBN: 3642276482 Category : Technology & Engineering Languages : en Pages : 248
Book Description
“Practical Applications of Evolutionary Computation to Financial Engineering” presents the state of the art techniques in Financial Engineering using recent results in Machine Learning and Evolutionary Computation. This book bridges the gap between academics in computer science and traders and explains the basic ideas of the proposed systems and the financial problems in ways that can be understood by readers without previous knowledge on either of the fields. To cement the ideas discussed in the book, software packages are offered that implement the systems described within. The book is structured so that each chapter can be read independently from the others. Chapters 1 and 2 describe evolutionary computation. The third chapter is an introduction to financial engineering problems for readers who are unfamiliar with this area. The following chapters each deal, in turn, with a different problem in the financial engineering field describing each problem in detail and focusing on solutions based on evolutionary computation. Finally, the two appendixes describe software packages that implement the solutions discussed in this book, including installation manuals and parameter explanations.
Author: Cornelis W Oosterlee Publisher: World Scientific ISBN: 1786347962 Category : Business & Economics Languages : en Pages : 1310
Book Description
This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].
Author: Desmond J. Higham Publisher: Cambridge University Press ISBN: 1139457896 Category : Mathematics Languages : en Pages : 268
Book Description
This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black–Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.
Author: Argimiro Arratia Publisher: Springer Science & Business Media ISBN: 9462390703 Category : Computers Languages : en Pages : 301
Book Description
The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.
Author: Mario J. Miranda Publisher: MIT Press ISBN: 0262291754 Category : Business & Economics Languages : en Pages : 529
Book Description
This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs. The book is divided into two parts. The first part develops basic numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization, numerical integration and differentiation, and function approximation. The second part presents methods for solving dynamic stochastic models in economics and finance, including dynamic programming, rational expectations, and arbitrage pricing models in discrete and continuous time. The book uses MATLAB to illustrate the algorithms and includes a utilities toolbox to help readers develop their own computational economics applications.
Author: A. J. Roberts Publisher: SIAM ISBN: 9780898718225 Category : Calculus Languages : en Pages : 128
Book Description
Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.
Author: Yuh-Dauh Lyuu
Author: Yuh-Dauh Lyuu
Author: Yuh-Dauh Lyuu
Author: 吕育道
Author: Hitoshi Iba
Author: Cornelis W Oosterlee
Author: Yuh-Dauh Lyuu
Author: Desmond J. Higham
Author: Argimiro Arratia
Author: Mario J. Miranda
Author: A. J. Roberts