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A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
Book Synopsis Financial Engineering and Computation by : Yuh-Dauh Lyuu
Download or read book Financial Engineering and Computation written by Yuh-Dauh Lyuu and published by Cambridge University Press. This book was released on 2002 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.
Book Synopsis Financial Engineering and Computation by : Yuh-Dauh Lyuu
Download or read book Financial Engineering and Computation written by Yuh-Dauh Lyuu and published by Cambridge University Press. This book was released on 2001-11-12 with total page 649 pages. Available in PDF, EPUB and Kindle. Book excerpt: Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.
Download or read book 金融工程和计算 written by 吕育道 and published by . This book was released on 2002 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: 本书从金融的基本想法开始,逐步建立理论,提供了很多定价、风险评估以及项目组合管理的算法和理论,重点论述了有关金融产品和衍生证券、期权、期货、远期、利率衍生产品、抵押证券等的定价问题。
This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].
Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee
Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].
Book Synopsis Financial Engineering and Computation: Principles, Mathematics, Algorithms by : Yuh-Dauh Lyuu
Download or read book Financial Engineering and Computation: Principles, Mathematics, Algorithms written by Yuh-Dauh Lyuu and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.
Book Synopsis Elementary Calculus of Financial Mathematics by : A. J. Roberts
Download or read book Elementary Calculus of Financial Mathematics written by A. J. Roberts and published by SIAM. This book was released on 2009-01-01 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.
The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.
Book Synopsis Computational Finance by : Argimiro Arratia
Download or read book Computational Finance written by Argimiro Arratia and published by Springer Science & Business Media. This book was released on 2014-05-08 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.
Preface v 1 On the History of the Growth-Optimal Portfolio M.M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249.
Book Synopsis Machine Learning for Financial Engineering by : György Ottucsák
Download or read book Machine Learning for Financial Engineering written by György Ottucsák and published by World Scientific. This book was released on 2012 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Preface v 1 On the History of the Growth-Optimal Portfolio M.M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249.
Book Synopsis A Primer for the Mathematics of Financial Engineering by : Dan Stefanica
Download or read book A Primer for the Mathematics of Financial Engineering written by Dan Stefanica and published by . This book was released on 2011 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains: Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends; Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods; 115 exercises, and more than 100 figures, many in color. Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.
Book Synopsis Tools for Computational Finance by : Rüdiger U. Seydel
Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer. This book was released on 2017-08-17 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains: Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends; Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods; 115 exercises, and more than 100 figures, many in color. Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.
