Computational Methods for Quantitative Finance

Computational Methods for Quantitative Finance Author Norbert Hilber
ISBN-10 9783642354014
Release 2013-02-15
Pages 299
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Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​



Computational Methods in Finance

Computational Methods in Finance Author Ali Hirsa
ISBN-10 9781466576049
Release 2016-04-19
Pages 444
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As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets. It then examines many computational approaches for pricing derivatives. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation. The next part focuses on essential steps in real-world derivative pricing. The author discusses how to calibrate model parameters so that model prices are compatible with market prices. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation. Developed from the author’s courses at Columbia University and the Courant Institute of New York University, this self-contained text is designed for graduate students in financial engineering and mathematical finance as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives.



Finanzderivate mit MATLAB

Finanzderivate mit MATLAB  Author Michael Günther
ISBN-10 9783322968425
Release 2013-03-09
Pages 302
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In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre mathematische Behandlung erfahren möchten. Es werden moderne numerische Methoden vorgestellt, mit denen die entsprechenden Bewertungsgleichungen in der Programmierumgebung MATLAB gelöst werden können.



Mathematical Modelling and Numerical Methods in Finance

Mathematical Modelling and Numerical Methods in Finance Author
ISBN-10 9780080931005
Release 2009-06-16
Pages 684
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Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field



Stochastic Analysis for Finance with Simulations

Stochastic Analysis for Finance with Simulations Author Geon Ho Choe
ISBN-10 9783319255897
Release 2016-07-14
Pages 657
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This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.



Randelementmethoden

Randelementmethoden Author Stefan Sauter
ISBN-10 3519003686
Release 2004-06-29
Pages 382
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In diesem ersten Lehrbuch über Randelementmethoden werden schnelle numerische Lösungsverfahren entwickelt und analysiert. Darüber hinaus wird auch die effiziente Implementierung thematisiert, wobei besonderer Wert auf eine mathematisch-saubere Herleitung und Analyse der Integralgleichungen gelegt wird. Im Vordergrund steht die Galerkin-Diskretisierung der Integralgleichungen mit Randelementen, die für die meisten Anwendungen die geeignetste Diskretisierungsmethode ist. Eine Zielsetzung der Darstellung ist es, für alle Teilschritte der Methode (Berechnung der Matrixkoeffizienten, schwachbesetzte Darstellung des nicht-lokalen Operators, Lösung der linearen Gleichungssysteme) effiziente Algorithmen anzugeben und zu analysieren. Das Buch bietet verschiedene Varianten zur Konzeption einer Vorlesung und eignet sich auch für ein Selbststudium.



Oversexed and underfucked

Oversexed and underfucked Author Iris Osswald-Rinner
ISBN-10 9783531928654
Release 2011-03-29
Pages 272
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Oversexed and underfucked! Diese sicherlich pointiert formulierte und auch provozierende Diagnose über den gegenwärtigen Zustand des ‚sexuellen Begehrens’ unterstellt, dass die Lust der Geschlechter aufeinander heute weitgehend abhanden gekommen sei und dass die vermeintliche, ganz wesentlich durch die Medien getragene, Übersexualisierung daran einen erheblichen Anteil habe. Und sie impliziert, dass ‚wir’ alle wissen (wollen), was guter Sex ist. Entlang dieser Leitnahmen geht die vorliegende Arbeit der gesellschaftlichen Konstruktion der Lust auf den Grund. Sie analysiert die Ideen einer ‚gelingenden Sexualität’ aus der Sicht der Wissenschaft ebenso wie das Rezeptwissen erfolgreicher Sexualratgeber von 1950 bis heute. Die aus diesen Quellen ‚rekonstruierten’ sexuellen Skripte (Dornröschen-Skript, Ken&Barbie-Skript, Adam&Eva-Skript und Ich&Ich-Skript) weisen – insgesamt betrachtet – eine typische Entwicklungslinie auf, die von der Darstellung des Geschlechtsverkehrs als Drama im Dornröschen-Skript bis hin zur als Porncast inszenierten Selbstbefriedigung im Ich&Ich-Skript führt. Der Begriff ‚underfucked’ zeigt somit nicht einen Mangel an Geschlechtsverkehr an, sondern beschreibt vielmehr seinen fortschreitenden ‚sozialen Tod’.



Der Schwarze Schwan

Der Schwarze Schwan Author Nassim Nicholas Taleb
ISBN-10 9783641171933
Release 2015-11-02
Pages 624
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Talebs Weltbestseller endlich wieder im Handel erhältlich. „Der Schwarze Schwan: Die Macht höchst unwahrscheinlicher Ereignisse“ und „Der Schwarze Schwan: Konsequenzen aus der Krise“ erstmals komplett in einem Band und eingeleitet mit einem neuen Essay des Autors. Nassim Nicholas Talebs Definition ist weltberühmt geworden: Ein “Schwarzer Schwan” ist ein Ereignis, auf das drei Dinge zutreffen: Es ist erstens ein Ausreißer – es liegt außerhalb der regulären Erwartungen, nichts in der Vergangenheit weist darauf hin. Es hat zweitens enorme Auswirkungen. Drittens bringt uns die menschliche Natur dazu, im Nachhinein Erklärungen für sein Eintreten zu konstruieren, um es erklärbar und vorhersagbar zu machen. In diesem bahnbrechenden Buch, das mittlerweile weltweit zum Klassiker geworden ist, entwickelt Taleb seine einflussreiche Denkfigur und Maxime für die ungewisse Realität, in der wir leben und handeln.



Optionen Futures und andere Derivate

Optionen  Futures und andere Derivate Author John Hull
ISBN-10 382737281X
Release 2009
Pages 990
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Optionen Futures und andere Derivate has been writing in one form or another for most of life. You can find so many inspiration from Optionen Futures und andere Derivate also informative, and entertaining. Click DOWNLOAD or Read Online button to get full Optionen Futures und andere Derivate book for free.



Vorkurs Mathematik

Vorkurs Mathematik Author Erhard Cramer
ISBN-10 9783662464007
Release 2015-02-11
Pages 477
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Das Arbeitsbuch dient dem Aufbau und der Auffrischung mathematischer Grundlagen zum Studienbeginn und bietet eine systematische Aufbereitung der Schulmathematik mit Bezügen zur angewandten Statistik. Alle Themen werden ausführlich und mit vielen Beispielen und Grafiken erläutert, so dass sich das Buch zum Selbststudium und als Begleittext zu einem Vorkurs/Brückenkurs eignet. Zu allen Aufgaben gibt es ausführliche und vollständige Lösungen. Das Buch richtet sich an Studienanfänger/innen in Bachelorstudiengängen, insbesondere der Wirtschafts-, Sozial- und Ingenieurwissenschaften. Darüber hinaus wendet es sich an Studierende in Fachrichtungen mit Statistikanteil, in denen eine vorbereitende Mathematikveranstaltung fehlt (z.B. Medizin, Psychologie). Themen: mathematische Grundbegriffe und Symbolik, Mengenlehre, Bruch-/Potenzrechnung, Funktionen, Folgen, (Un)Gleichungen, Grenzwerte, Differential-/Integralrechnung, Optimierung. Weitere Materialien sind im Internet verfügbar.



Mathematical Modeling and Numerical Methods in Finance

Mathematical Modeling and Numerical Methods in Finance Author Alain Bensoussan
ISBN-10 0444518797
Release 2008-12-01
Pages 726
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Mathematical Finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most importants aspects in the field: mathematical models, computational methods, and applications and provides a solid overview of major new ideas and results in the three domains. • Coverage of all aspects of quantitative finance including models, computational methods and applications • Provides an overview of new ideas and results • Contributors are leaders of the field



Die C Programmiersprache

Die C   Programmiersprache Author Bjarne Stroustrup
ISBN-10 3827330467
Release 2011
Pages 1068
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Die C Programmiersprache has been writing in one form or another for most of life. You can find so many inspiration from Die C Programmiersprache also informative, and entertaining. Click DOWNLOAD or Read Online button to get full Die C Programmiersprache book for free.



Implementing Models in Quantitative Finance Methods and Cases

Implementing Models in Quantitative Finance  Methods and Cases Author Gianluca Fusai
ISBN-10 3540499598
Release 2007-12-20
Pages 607
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This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.



Computational Finance

Computational Finance Author George Levy
ISBN-10 0750657227
Release 2004
Pages 443
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Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book." -- d.j.



Applied Quantitative Finance

Applied Quantitative Finance Author W. Härdle
ISBN-10 9783662050217
Release 2013-06-29
Pages 402
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This book presents solutions for many practical problems in quantitative finance. The e-book design of the text connects theory and computational tools in an innovative way. All "quantlets" for calculation of examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web.



Applied Quantitative Finance

Applied Quantitative Finance Author Wolfgang Karl Härdle
ISBN-10 9783662544860
Release 2017-08-02
Pages 372
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This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.



Pricing Financial Instruments

Pricing Financial Instruments Author Domingo Tavella
ISBN-10 0471197602
Release 2000-04-21
Pages 256
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Pricing Financial Instruments Numerical methods for the solution of financial instrument pricing equations are fast becoming essential for practitioners of modern quantitative finance. Among the most promising of these new computational finance techniques is the finite difference method-yet, to date, no single resource has presented a quality, comprehensive overview of this revolutionary quantitative approach to risk management. Pricing Financial Instruments, researched and written by Domingo Tavella and Curt Randall, two of the chief proponents of the finite difference method, presents a logical framework for applying the method of finite difference to the pricing of financial derivatives. Detailing the algorithmic and numerical procedures that are the foundation of both modern mathematical finance and the creation of financial products-while purposely keeping mathematical complexity to a minimum-this long-awaited book demonstrates how the techniques described can be used to accurately price simple and complex derivative structures. From a summary of stochastic pricing processes and arbitrage pricing arguments, through the analysis of numerical schemes and the implications of discretization-and ending with case studies that are simple yet detailed enough to demonstrate the capabilities of the methodology-Pricing Financial Instruments explores areas that include: * Pricing equations and the relationship between European and American derivatives * Detailed analyses of different stability analysis approaches * Continuous and discrete sampling models for path dependent options * One-dimensional and multi-dimensional coordinate transformations * Numerical examples of barrier options, Asian options, forward swaps, and more With an emphasis on how numerical solutions work and how the approximations involved affect the accuracy of the solutions, Pricing Financial Instruments takes us through doors opened wide by Black, Scholes, and Merton-and the arbitrage pricing principles they introduced in the early 1970s-to provide a step-by-step outline for sensibly interpreting the output of standard numerical schemes. It covers the understanding and application of today's finite difference method, and takes the reader to the next level of pricing financial instruments and managing financial risk.