Computational methods in finance
 Responsibility
 Ali Hirsa.
 Language
 English.
 Imprint
 Boca Raton, FL : CRC Press, c2013.
 Physical description
 xxix, 414 p. : ill. ; 27 cm.
 Series
 Chapman & Hall/CRC financial mathematics series.
Access
Available online
Math & Statistics Library
Stacks
Call number  Status 

HG6024 .A3 H57 2013  Unknown 
More options
Creators/Contributors
 Author/Creator
 Hirsa, Ali.
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 395408) and index.
 Contents

 I Pricing and Valuation Stochastic Processes and RiskNeutral Pricing Characteristic Function Stochastic Models of Asset Prices Valuing Derivatives under Various Measures Types of Derivatives Derivatives Pricing via Transform Techniques Derivatives Pricing via the Fast Fourier Transform Fractional Fast Fourier Transform Derivatives Pricing via the FourierCosine (COS) Method Cosine Method for PathDependent Options Saddlepoint Method Introduction to Finite Differences Taylor Expansion Finite Difference Method Stability Analysis Derivative Approximation by Finite Differences: A Generic Approach Matrix Equations Solver Derivative Pricing via Numerical Solutions of PDEs Option Pricing under the Generalized BlackScholes PDE Boundary Conditions and Critical Points Nonuniform Grid Points Dimension Reduction Pricing PathDependent Options in a Diffusion Framework Forward PDEs Finite Differences in Higher Dimensions Derivative Pricing via Numerical Solutions of PIDEs Numerical Solution of PIDEs (a Generic Example) American Options PIDE Solutions for Levy Processes Forward PIDEs Calculation of g1 and g2 Simulation Methods for Derivatives Pricing Random Number Generation Samples from Various Distributions Models of Dependence Brownian Bridge Monte Carlo Integration Numerical Integration of Stochastic Differential Equations Simulating SDEs under Different Models Output/Simulation Analysis Variance Reduction Techniques II Calibration and Estimation Model Calibration Calibration Formulation Calibration of a Single Underlier Model Interest Rate Models Model Risk Optimization and Optimization Methodology Construction of the Discount Curve Arbitrage Restrictions on Option Premiums Interest Rate Definitions Filtering and Parameter Estimation Filtering The Likelihood Function Kalman Filter NonLinear Filters Extended Kalman Filter Unscented Kalman Filter Square Root Unscented Kalman Filter (SR UKF) Particle Filter Markov Chain Monte Carlo (MCMC) References Index Problems appear at the end of each chapter.
 (source: Nielsen Book Data)9781439829578 20160609
 Publisher's Summary
 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 Fouriercosine 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 realworld 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 selfcontained 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.
(source: Nielsen Book Data)9781439829578 20160609
Subjects
 Subject
 Derivative securities > Prices > Mathematics.
Bibliographic information
 Publication date
 2013
 Series
 Chapman & Hall/CRC Financial mathematics series
 ISBN
 9781439829578 (hardcover : alk. paper)
 1439829578 (hardcover : alk. paper)