Numerical Methods For Finance (chapman & Hall/crc Financial Mathematics Series)
by John Miller /
2007 / English / PDF
4 MB Download
Featuring international contributors from both industry and
academia, Numerical Methods for Finance explores new and relevant
numerical methods for the solution of practical problems in
finance. It is one of the few books entirely devoted to numerical
methods as applied to the financial field.
Featuring international contributors from both industry and
academia, Numerical Methods for Finance explores new and relevant
numerical methods for the solution of practical problems in
finance. It is one of the few books entirely devoted to numerical
methods as applied to the financial field.
Presenting state-of-the-art methods in this area, the book first
discusses the coherent risk measures theory and how it applies to
practical risk management. It then proposes a new method for
pricing high-dimensional American options, followed by a
description of the negative inter-risk diversification effects
between credit and market risk. After evaluating counterparty risk
for interest rate payoffs, the text considers strategies and issues
concerning defined contribution pension plans and participating
life insurance contracts. It also develops a computationally
efficient swaption pricing technology, extracts the underlying
asset price distribution implied by option prices, and proposes a
hybrid GARCH model as well as a new affine point process framework.
In addition, the book examines performance-dependent options,
variance reduction, Value at Risk (VaR), the differential evolution
optimizer, and put-call-futures parity arbitrage
opportunities.
Presenting state-of-the-art methods in this area, the book first
discusses the coherent risk measures theory and how it applies to
practical risk management. It then proposes a new method for
pricing high-dimensional American options, followed by a
description of the negative inter-risk diversification effects
between credit and market risk. After evaluating counterparty risk
for interest rate payoffs, the text considers strategies and issues
concerning defined contribution pension plans and participating
life insurance contracts. It also develops a computationally
efficient swaption pricing technology, extracts the underlying
asset price distribution implied by option prices, and proposes a
hybrid GARCH model as well as a new affine point process framework.
In addition, the book examines performance-dependent options,
variance reduction, Value at Risk (VaR), the differential evolution
optimizer, and put-call-futures parity arbitrage
opportunities.
Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this
concise and well-illustrated book equips practitioners with the
necessary information to make important financial decisions.
Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this
concise and well-illustrated book equips practitioners with the
necessary information to make important financial decisions.