Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Nonparametric Finance written by Jussi Klemelä and published by John Wiley & Sons. This book was released on 2018-02-28 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Machine Learning in Finance, With Mathematical Background, Data Visualization, and R Nonparametric function estimation is an important part of machine learning, which is becoming increasingly important in quantitative finance. Nonparametric Finance provides graduate students and finance professionals with a foundation in nonparametric function estimation and the underlying mathematics. Combining practical applications, mathematically rigorous presentation, and statistical data analysis into a single volume, this book presents detailed instruction in discrete chapters that allow readers to dip in as needed without reading from beginning to end. Coverage includes statistical finance, risk management, portfolio management, and securities pricing to provide a practical knowledge base, and the introductory chapter introduces basic finance concepts for readers with a strictly mathematical background. Economic significance is emphasized over statistical significance throughout, and R code is provided to help readers reproduce the research, computations, and figures being discussed. Strong graphical content clarifies the methods and demonstrates essential visualization techniques, while deep mathematical and statistical insight backs up practical applications. Written for the leading edge of finance, Nonparametric Finance: • Introduces basic statistical finance concepts, including univariate and multivariate data analysis, time series analysis, and prediction • Provides risk management guidance through volatility prediction, quantiles, and value-at-risk • Examines portfolio theory, performance measurement, Markowitz portfolios, dynamic portfolio selection, and more • Discusses fundamental theorems of asset pricing, Black-Scholes pricing and hedging, quadratic pricing and hedging, option portfolios, interest rate derivatives, and other asset pricing principles • Provides supplementary R code and numerous graphics to reinforce complex content Nonparametric function estimation has received little attention in the context of risk management and option pricing, despite its useful applications and benefits. This book provides the essential background and practical knowledge needed to take full advantage of these little-used methods, and turn them into real-world advantage. Jussi Klemelä, PhD, is Adjunct Professor at the University of Oulu. His research interests include nonparametric function estimation, density estimation, and data visualization. He is the author of Smoothing of Multivariate Data: Density Estimation and Visualization and Multivariate Nonparametric Regression and Visualization: With R and Applications to Finance.

Download or read book Nonparametric Econometric Methods written by Qi Li and published by Emerald Group Publishing. This book was released on 2009-12-04 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.

Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Download or read book Recent Advances and Trends in Nonparametric Statistics written by M.G. Akritas and published by Elsevier. This book was released on 2003-10-31 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of high-speed, affordable computers in the last two decades has given a new boost to the nonparametric way of thinking. Classical nonparametric procedures, such as function smoothing, suddenly lost their abstract flavour as they became practically implementable. In addition, many previously unthinkable possibilities became mainstream; prime examples include the bootstrap and resampling methods, wavelets and nonlinear smoothers, graphical methods, data mining, bioinformatics, as well as the more recent algorithmic approaches such as bagging and boosting. This volume is a collection of short articles - most of which having a review component - describing the state-of-the art of Nonparametric Statistics at the beginning of a new millennium. Key features: . algorithic approaches . wavelets and nonlinear smoothers . graphical methods and data mining . biostatistics and bioinformatics . bagging and boosting . support vector machines . resampling methods

Download or read book International Conference of Computational Methods in Sciences and Engineering ICCMSE 2004 written by Theodore Simos and published by CRC Press. This book was released on 2019-04-29 with total page 1335 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Conference of Computational Methods in Sciences and Engineering (ICCMSE) is unique in its kind. It regroups original contributions from all fields of the traditional Sciences, Mathematics, Physics, Chemistry, Biology, Medicine and all branches of Engineering. The aim of the conference is to bring together computational scientists from several disciplines in order to share methods and ideas. More than 370 extended abstracts have been submitted for consideration for presentation in ICCMSE 2004. From these, 289 extended abstracts have been selected after international peer review by at least two independent reviewers.

Download or read book Advanced Asset Pricing Theory written by Chenghu Ma and published by World Scientific. This book was released on 2011 with total page 818 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.

Download or read book A New Framework to Estimate the Risk Neutral Probability Density Functions Embedded in Options Prices written by Mr.Kevin C. Cheng and published by International Monetary Fund. This book was released on 2010-08-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra’s original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S&P 500, the dollar/euro exchange rate, and the US 10-year Treasury Note. Finally, a Monte Carlo study suggests that the multi-lognormal approach outperforms the double-lognormal approach.

Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

Download or read book Option Implied Risk Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Proceedings in Finance and Risk Perspectives 12 written by and published by Othmar M. Lehner. This book was released on with total page 655 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Current Topics in Quantitative Finance written by Elio Canestrelli and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume collects a selection of revised papers which were presented at the 21st Euro Working Group on Financial Modelling Meeting, held in Venice (Italy), on October 29-31, 1997. The Working Group was founded in September 1986 in Lisbon with the objective of providing an international forum for the exchange of information and experience; encouraging research and interaction be tween financial economic theory and practice of financial decision mak ing, as well as circulating information among universities and financial institutions throughout Europe. The attendance to the Meeting was large and highly qualified. More than 80 participants, coming from 20 different Countries debated on 5 invited lectures and 40 communications in regular sessions. The sessions were located at the Island of San Servolo, on the Venetian lagoon, just in front of the Doges Palace. San Servolo Island is a natural oasis, in the midst of a unique urban setting, offering great relaxation in a peaceful park and a panoramic view of Venice. The friendly atmosphere added great benefit to the formal and informal discussions among the participants, -which is typical of E.W.G.F.M. Meetings. It is interesting to consider the story of the Meeting. The previous locations were held at Cyprus, Crete and Dubrovnik - former mile stones of the Venitian Republic influence on the Mediterranean Sea. Therefore, that this Meeting should be harboured in the heart of the Republic itself (namely, the Saint Mark basin), was only a matter of consequence.

Download or read book Risk Finance and Asset Pricing written by Charles S. Tapiero and published by John Wiley & Sons. This book was released on 2010-09-24 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial engineering that stresses real-world applications Financial engineering expert Charles S. Tapiero has his finger on the pulse of shifts coming to financial engineering and its applications. With an eye toward the future, he has crafted a comprehensive and accessible book for practitioners and students of Financial Engineering that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book covers the theory from a practitioner perspective and applies it to a variety of real-world problems. Examines the cornerstone of the explosive growth in markets worldwide Presents important financial engineering techniques to price, hedge, and manage risks in general Author heads the largest financial engineering program in the world Author Charles Tapiero wrote the seminal work Risk and Financial Management.

Download or read book Nonparametric Kernel Density Estimation and Its Computational Aspects written by Artur Gramacki and published by Springer. This book was released on 2017-12-21 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes computational problems related to kernel density estimation (KDE) – one of the most important and widely used data smoothing techniques. A very detailed description of novel FFT-based algorithms for both KDE computations and bandwidth selection are presented. The theory of KDE appears to have matured and is now well developed and understood. However, there is not much progress observed in terms of performance improvements. This book is an attempt to remedy this. The book primarily addresses researchers and advanced graduate or postgraduate students who are interested in KDE and its computational aspects. The book contains both some background and much more sophisticated material, hence also more experienced researchers in the KDE area may find it interesting. The presented material is richly illustrated with many numerical examples using both artificial and real datasets. Also, a number of practical applications related to KDE are presented.

Download or read book Financial Econometrics written by Christian Gourieroux and published by Princeton University Press. This book was released on 2018-06-05 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections