Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Download or read book Statistical Tools for Finance and Insurance written by Pavel Čižek and published by Springer Science & Business Media. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. Thenbsp;design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.

Download or read book An Introduction to Financial Option Valuation written by Desmond J. Higham and published by Cambridge University Press. This book was released on 2004-04-15 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Numerical Methods in Finance written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 1997-06-26 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Download or read book Handbook of Computational and Numerical Methods in Finance written by Svetlozar T. Rachev and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. The book is designed for the academic community and will also serve professional investors.

Download or read book Numerical Solution of Stochastic Differential Equations with Jumps in Finance written by Eckhard Platen and published by Springer Science & Business Media. This book was released on 2010-07-23 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.

Download or read book Applied Stochastic Processes and Control for Jump Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-01-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

Download or read book Numerical Analysis of Multiscale Computations written by Björn Engquist and published by Springer Science & Business Media. This book was released on 2011-10-14 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a snapshot of current research in multiscale modeling, computations and applications. It covers fundamental mathematical theory, numerical algorithms as well as practical computational advice for analysing single and multiphysics models containing a variety of scales in time and space. Complex fluids, porous media flow and oscillatory dynamical systems are treated in some extra depth, as well as tools like analytical and numerical homogenization, and fast multipole method.

Download or read book Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Download or read book Topics in Numerical Methods for Finance written by Mark Cummins and published by Springer Science & Business Media. This book was released on 2012-07-15 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Efficient approximation methods are next developed for the application of the fast Fourier transform for option pricing under multifactor affine models with stochastic volatility and jumps. Following this, fast and accurate pricing techniques are showcased for the pricing of credit derivative contracts with discrete monitoring based on the Wiener-Hopf factorisation. With an energy theme, a recombining pentanomial lattice is developed for the pricing of gas swing contracts under regime switching dynamics. The book concludes with a linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets.

Download or read book The Best of Wilmott 2 written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2006-02-22 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Team at Wilmott is very proud to present this compilation of Wilmott magazine articles and presentations from our second year. We have selected some of the very best in cutting-edge research, and the most illuminating of our regular columns. The technical papers include state-of-the-art pricing tools and models. You'll notice there's a bias towards volatility modelling in the book. Of course, it's one of my favourite topics, but volatility is also the big unknown as far as pricing and hedging is concerned. We present research in this area from some of the best newcomers in this field. You'll see ideas that make a mockery of 'received wisdom,' ideas that are truly paradigm shattering - for we aren't content with a mere 'shift.' We know you'll enjoy it! The Best of Wilmott will return again next year...

Download or read book Computational Sciences Modelling Computing and Soft Computing written by Ashish Awasthi and published by Springer Nature. This book was released on 2021-07-27 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised and selected papers of the First International Conference on Computational Sciences - Modelling, Computing and Soft Computing, held in Kozhikode, Kerala, India, in September 2020. The 15 full papers and 6 short papers presented were thoroughly reviewed and selected from the 150 submissions. They are organized in the topical secions on computing; soft computing; general computing; modelling.

Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

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 Handbook of Computational Economics written by Karl Schmedders and published by Newnes. This book was released on 2013-12-31 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. - Samples different styles and approaches, reflecting the breadth of computational economics as practiced today - Focuses on problems with few well-developed solutions in the literature of other disciplines - Emphasizes the potential for increasing the value of computational modeling in economics

Download or read book Applied and Numerical Partial Differential Equations written by W. Fitzgibbon and published by Springer Science & Business Media. This book was released on 2010-01-08 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standing at the intersection of mathematics and scientific computing, this collection of state-of-the-art papers in nonlinear PDEs examines their applications to subjects as diverse as dynamical systems, computational mechanics, and the mathematics of finance.