Handbook of Computational and Numerical Methods in Finance

Svetlozar T. Rachev

448 pages, parution le 02/09/2004

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Résumé

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. Key topics: methodological issues, i.e., genetic algorithms, neural networks, Monte-Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors.

Contributors: K. Amir-Atefi, Z. Atakhanova, A. Biglova, O.J. Blaskowitz, D. D'Souza, W.K. Härdle, I. Huber, I. Khindanova, A. Kohatsu-Higa, P. Kokoszka, M. Montero, S. Ortobelli, E. Özturkmen, G. Pagès, A. Parfionovas, H. Pham, J. Printems, S. Rachev, B. Racheva-Jotova, F. Schlottmann, P. Schmidt, D. Seese, S. Stoyanov, C.E. Testuri, S. Trück, S. Uryasev, and Z. Zheng.

Written for:
Professional investors, researchers and graduate students

L'auteur - Svetlozar T. Rachev

Svetlozar T. Rachev, PhD, DR. SCI, is currently Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Professor Emeritus at the University of California. He is also the founder of Bravo Risk Management Group and Chief Scientist of FinAnalytica.

Sommaire

Skewness and Kurtosis Trades
Valuation of a Credit Spread Put Option: The Stable Paretian Model with Copulas
GARCH-Type Processes in Modeling Energy Prices
Malliavin Calculus in Finance
Bootstrap Unit Root Tests for Heavy-Tailed Time Series
Optimal Portfolio Selection and Risk Management: A Comparison Between the Stable Paretian Approach and the Gaussian One
Optimal Quantization Methods and Applications to Numerical Problems in Finance
Numerical Methods for Stable Modeling in Financial Risk Management
Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications
On Relation Between Expected Regret and Conditional Value-at-Risk
Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models
Numerical Analysis of Stochastic Differential Systems and its Applications in Finance
A. List of Contributors

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Birkhäuser
Auteur(s)	Svetlozar T. Rachev
Parution	02/09/2004
Nb. de pages	448
Format	16 x 24
Couverture	Relié
Poids	770g
Intérieur	Noir et Blanc
EAN13	9780817632199
ISBN13	978-0-8176-3219-9