A workout in computational finance
A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability t...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
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Hoboken, N.J. :
John Wiley & Sons, Inc
2013.
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| Edición: | 1st edition |
| Colección: | Wiley finance series
Wiley finance series. |
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| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629580806719 |
| Sumario: | A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem. |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (354 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119973515 9781119973485 9781119973492 |
