Numerical Methods for Finance - Couverture souple

Livre 7 sur 71: Chapman and Hall/CRC Financial Mathematics
 
9780367388591: Numerical Methods for Finance
Couverture souple
ISBN 10 : 0367388596 ISBN 13 : 9780367388591
Editeur : Routledge, 2019

Synopsis

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.

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

John A. D. Appleby, David C. Edelman, John J. H. Miller

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Routledge
Date d'édition
2019
Langue
anglais
ISBN 10 
0367388596
ISBN 13 
9780367388591
Reliure
Broché
Nombre de pages
293
Éditeur
Appleby John A. D., Edelman David C., Miller John J. H.
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Friedensallee 273
Hamburg
22763
Allemagne

Autres éditions populaires du même titre

9781584889250: Numerical Methods for Finance

Edition présentée

ISBN 10 :  158488925X ISBN 13 :  9781584889250
Editeur : Chapman and Hall/CRC, 2019
Couverture rigide