Download or read book GPU Gems 2 written by Matt Pharr and published by Addison-Wesley Professional. This book was released on 2005 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt: More useful techniques, tips, and tricks for harnessing the power of the new generation of powerful GPUs.

Download or read book Stochastic Finance written by Nicolas Privault and published by CRC Press. This book was released on 2013-12-20 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.

Download or read book Derivatives Analytics with Python written by Yves Hilpisch and published by John Wiley & Sons. This book was released on 2015-06-15 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: Supercharge options analytics and hedging using the power of Python Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language. This unique guide offers detailed explanations of all theory, methods, and processes, giving you the background and tools necessary to value stock index options from a sound foundation. You'll find and use self-contained Python scripts and modules and learn how to apply Python to advanced data and derivatives analytics as you benefit from the 5,000+ lines of code that are provided to help you reproduce the results and graphics presented. Coverage includes market data analysis, risk-neutral valuation, Monte Carlo simulation, model calibration, valuation, and dynamic hedging, with models that exhibit stochastic volatility, jump components, stochastic short rates, and more. The companion website features all code and IPython Notebooks for immediate execution and automation. Python is gaining ground in the derivatives analytics space, allowing institutions to quickly and efficiently deliver portfolio, trading, and risk management results. This book is the finance professional's guide to exploiting Python's capabilities for efficient and performing derivatives analytics. Reproduce major stylized facts of equity and options markets yourself Apply Fourier transform techniques and advanced Monte Carlo pricing Calibrate advanced option pricing models to market data Integrate advanced models and numeric methods to dynamically hedge options Recent developments in the Python ecosystem enable analysts to implement analytics tasks as performing as with C or C++, but using only about one-tenth of the code or even less. Derivatives Analytics with Python — Data Analysis, Models, Simulation, Calibration and Hedging shows you what you need to know to supercharge your derivatives and risk analytics efforts.

Download or read book Algorithms and Theory of Computation Handbook Volume 2 written by Mikhail J. Atallah and published by CRC Press. This book was released on 2009-11-20 with total page 932 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithms and Theory of Computation Handbook, Second Edition: Special Topics and Techniques provides an up-to-date compendium of fundamental computer science topics and techniques. It also illustrates how the topics and techniques come together to deliver efficient solutions to important practical problems.Along with updating and revising many of

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Download or read book Algorithms ESA 2001 written by Friedhelm Meyer auf der Heide and published by Springer Science & Business Media. This book was released on 2001-08-15 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is only during the last decade that the functions of sinusoidal endothelial cells, Kupffer cells, hepatic stellate cells, pit cells and other intrahepatic lymphocytes have been better understood. The development of methods for isolation and co-culturing various types of liver cells has established that they communicate and cooperate via secretion of various intercellular mediators. This monograph summarizes multiple data that suggest the important role of cellular cross-talk for the functions of both normal and diseased liver. Special features of the book include concise presentation of the majority of detailed data in 19 tables. Original schemes allow for the clear illustration of complicated intercellular relationships. This is the first ever presentation of the newly emerging field of liver biology, which is important for hepatic function in health and disease and opens new avenues for therapeutic interventions.

Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.

Download or read book Natural Computing in Computational Finance written by Anthony Brabazon and published by Springer. This book was released on 2009-01-30 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent years have seen the widespread application of Natural Computing algorithms (broadly defined in this context as computer algorithms whose design draws inspiration from phenomena in the natural world) for the purposes of financial modelling and optimisation. A related stream of work has also seen the application of learning mechanisms drawn from Natural Computing algorithms for the purposes of agent-based modelling in finance and economics. In this book we have collected a series of chapters which illustrate these two faces of Natural Computing. The first part of the book illustrates how algorithms inspired by the natural world can be used as problem solvers to uncover and optimise financial models. The second part of the book examines a number agent-based simulations of financial systems. This book follows on from Natural Computing in Computational Finance (Volume 100 in Springer’s Studies in Computational Intelligence series) which in turn arose from the success of EvoFIN 2007, the very first European Workshop on Evolutionary Computation in Finance & Economics held in Valencia, Spain in April 2007.

Download or read book Market Conform Valuation of Options written by Tobias Herwig and published by Taylor & Francis. This book was released on 2006-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.

Download or read book Financial Derivatives Pricing written by Robert A. Jarrow and published by World Scientific. This book was released on 2008 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

Download or read book American Put Options written by Donna Salopek and published by CRC Press. This book was released on 1997-03-15 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: An American put option gives its owner the right to sell a share of stock at a given specified price on or before a given date. This book provides a detailed comparison of recent works on the American put option from both theoretical and computational approaches.

Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.

Download or read book The Rise of the Quants written by C. Read and published by Springer. This book was released on 2012-06-07 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, answering the question 'how do we measure risk?'

Download or read book Computational Science and Its Applications ICCSA 2022 Workshops written by Osvaldo Gervasi and published by Springer Nature. This book was released on 2022-07-22 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: The eight-volume set LNCS 13375 – 13382 constitutes the proceedings of the 22nd International Conference on Computational Science and Its Applications, ICCSA 2022, which was held in Malaga, Spain during July 4 – 7, 2022. The first two volumes contain the proceedings from ICCSA 2022, which are the 57 full and 24 short papers presented in these books were carefully reviewed and selected from 279 submissions. The other six volumes present the workshop proceedings, containing 285 papers out of 815 submissions. These six volumes includes the proceedings of the following workshops: ​ Advances in Artificial Intelligence Learning Technologies: Blended Learning, STEM, Computational Thinking and Coding (AAILT 2022); Workshop on Advancements in Applied Machine-learning and Data Analytics (AAMDA 2022); Advances in information Systems and Technologies for Emergency management, risk assessment and mitigation based on the Resilience (ASTER 2022); Advances in Web Based Learning (AWBL 2022); Blockchain and Distributed Ledgers: Technologies and Applications (BDLTA 2022); Bio and Neuro inspired Computing and Applications (BIONCA 2022); Configurational Analysis For Cities (CA Cities 2022); Computational and Applied Mathematics (CAM 2022), Computational and Applied Statistics (CAS 2022); Computational Mathematics, Statistics and Information Management (CMSIM); Computational Optimization and Applications (COA 2022); Computational Astrochemistry (CompAstro 2022); Computational methods for porous geomaterials (CompPor 2022); Computational Approaches for Smart, Conscious Cities (CASCC 2022); Cities, Technologies and Planning (CTP 2022); Digital Sustainability and Circular Economy (DiSCE 2022); Econometrics and Multidimensional Evaluation in Urban Environment (EMEUE 2022); Ethical AI applications for a human-centered cyber society (EthicAI 2022); Future Computing System Technologies and Applications (FiSTA 2022); Geographical Computing and Remote Sensing for Archaeology (GCRSArcheo 2022); Geodesign in Decision Making: meta planning and collaborative design for sustainable and inclusive development (GDM 2022); Geomatics in Agriculture and Forestry: new advances and perspectives (GeoForAgr 2022); Geographical Analysis, Urban Modeling, Spatial Statistics (Geog-An-Mod 2022); Geomatics for Resource Monitoring and Management (GRMM 2022); International Workshop on Information and Knowledge in the Internet of Things (IKIT 2022); 13th International Symposium on Software Quality (ISSQ 2022); Land Use monitoring for Sustanability (LUMS 2022); Machine Learning for Space and Earth Observation Data (MALSEOD 2022); Building multi-dimensional models for assessing complex environmental systems (MES 2022); MOdels and indicators for assessing and measuring the urban settlement deVElopment in the view of ZERO net land take by 2050 (MOVEto0 2022); Modelling Post-Covid cities (MPCC 2022); Ecosystem Services: nature’s contribution to people in practice. Assessment frameworks, models, mapping, and implications (NC2P 2022); New Mobility Choices For Sustainable and Alternative Scenarios (NEMOB 2022); 2nd Workshop on Privacy in the Cloud/Edge/IoT World (PCEIoT 2022); Psycho-Social Analysis of Sustainable Mobility in The Pre- and Post-Pandemic Phase (PSYCHE 2022); Processes, methods and tools towards RESilient cities and cultural heritage prone to SOD and ROD disasters (RES 2022); Scientific Computing Infrastructure (SCI 2022); Socio-Economic and Environmental Models for Land Use Management (SEMLUM 2022); 14th International Symposium on Software Engineering Processes and Applications (SEPA 2022); Ports of the future - smartness and sustainability (SmartPorts 2022); Smart Tourism (SmartTourism 2022); Sustainability Performance Assessment: models, approaches and applications toward interdisciplinary and integrated solutions (SPA 2022); Specifics of smart cities development in Europe (SPEED 2022); Smart and Sustainable Island Communities (SSIC 2022); Theoretical and Computational Chemistryand its Applications (TCCMA 2022); Transport Infrastructures for Smart Cities (TISC 2022); 14th International Workshop on Tools and Techniques in Software Development Process (TTSDP 2022); International Workshop on Urban Form Studies (UForm 2022); Urban Regeneration: Innovative Tools and Evaluation Model (URITEM 2022); International Workshop on Urban Space and Mobilities (USAM 2022); Virtual and Augmented Reality and Applications (VRA 2022); Advanced and Computational Methods for Earth Science Applications (WACM4ES 2022); Advanced Mathematics and Computing Methods in Complex Computational Systems (WAMCM 2022).

Download or read book The Journal of Computational Finance written by and published by . This book was released on 2006 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advanced Derivatives Pricing and Risk Management written by Claudio Albanese and published by Academic Press. This book was released on 2006 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.