Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1997 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Methods for Foreign Exchange written by Alexander Lipton and published by World Scientific. This book was released on 2001 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary mathematical, economic, and trading background carefully explained. In addition to the lucid treatment of the standard material, it describes many original results. The book can be used both as a text for students of financial engineering, and as a basic reference for risk managers, traders, and academics.
Download or read book Econometric Analysis of Cross Section and Panel Data second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
Download or read book Mathematical Methods for Financial Markets written by Monique Jeanblanc and published by Springer Science & Business Media. This book was released on 2009-10-03 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.
Download or read book Statistical Methods in Finance written by G. S. Maddala and published by . This book was released on 1996-12-11 with total page 760 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
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 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 Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Download or read book Stochastic Calculus of Variations in Mathematical Finance written by Paul Malliavin and published by Springer Science & Business Media. This book was released on 2006-02-25 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highly esteemed author Topics covered are relevant and timely
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Download or read book Risk Management and Simulation written by Aparna Gupta and published by CRC Press. This book was released on 2016-04-19 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk managemen
Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2002-04-23 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.
Download or read book Option Pricing written by Paul Wilmott and published by . This book was released on 1993 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: Análisis de los diferentes modelos matemáticos aplicados a los precios de opción. Se estudian además los elementos matemáticos básicos necesarios para el análisis de la ecuación Black-Scholes.
Download or read book Generalized Coherent States and Their Applications written by Askold Perelomov and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph treats an extensively developed field in modern mathematical physics - the theory of generalized coherent states and their applications to various physical problems. Coherent states, introduced originally by Schrodinger and von Neumann, were later employed by Glauber for a quantal description of laser light beams. The concept was generalized by the author for an arbitrary Lie group. In the last decade the formalism has been widely applied to various domains of theoretical physics and mathematics. The area of applications of generalized coherent states is very wide, and a comprehensive exposition of the results in the field would be helpful. This monograph is the first attempt toward this aim. My purpose was to compile and expound systematically the vast amount of material dealing with the coherent states and available through numerous journal articles. The book is based on a number of undergraduate and postgraduate courses I delivered at the Moscow Physico-Technical Institute. In its present form it is intended for professional mathematicians and theoretical physicists; it may also be useful for university students of mathematics and physics. In Part I the formalism is elaborated and explained for some of the simplest typical groups. Part II contains more sophisticated material; arbitrary Lie groups and symmetrical spaces are considered. A number of examples from various areas of theoretical and mathematical physics illustrate advantages of this approach, in Part III. It is a pleasure for me to thank Dr. Yu. Danilov for many useful remarks.
