Computational Finance: A Scientific Perspective - Couverture souple

Los, Cornelis A

Couverture souple

ISBN 10 : 9810244975 ISBN 13 : 9789810244972

Editeur : World Scientific Publishing Co Pte Ltd, 2000

Synopsis

Computational finance deals with the mathematics of computer programs that realize financial models or systems. This book outlines the epistemic risks associated with the current valuations of different financial instruments and discusses the corresponding risk management strategies. It covers most of the research and practical areas in computational finance. Starting from traditional fundamental analysis and using algebraic and geometric tools, it is guided by the logic of science to explore information from financial data without prejudice. In fact, this book has the unique feature that it is structured around the simple requirement of objective science: the geometric structure of the data = the information contained in the data.

A propos du livre

Un mot de l'éditeur

How to do financial modeling without prejudice... This book grew out of an invited, and very well attended public lecture on A Scientific View of Economic and Financial Data Analysis, which the author before the New York Academy of Sciences in New York City on March 11, 1992. That invitation came from Professors Lawrence Klein (Nobel Memorial prize winner), Edmund Phelps (Member of Academy of Sciences USA) and Dominick Salvatore.

The book analyzes the epistemic risks associated with the current valuations of financial instruments and their derivatives and discusses the corresponding adjusted risk management strategies. It covers most of the current research and practical areas in computational finance and corrects many of the common errors propagated in the financial literature. Starting from traditional fundamental financial analysis and using various algebraic and geometric tools, like 3- and 4-dimensional visualizations, this well-illustrated book is guided by the logic of science to explore information from uncertain financial data without prejudice.

It is structured around the fundamental requirement of objective science that the (geometric) structure of the data equals the information (model) contained in the data. Numerous real world empirical examples, collected by the author during his twenty year professional career, as a Senior and Chief Economist on Wall Street (Fed, Nomura, ING, etc.), elaborate on the points made. Detailed footnotes introduce many historical characters, who have presented similar arguments in physics and mathematics. The intended readership consists of undergraduate (3rd year and Honours) and graduate (MBA, MA and Ph.D) students in finance, who have some knowledge of elementary calculus and linear algebra, as well as sophisticated practitioners in the financial services industries.

Biographie de l'auteur

Currently Dr. Los teaches Finance in the School of Accounting and Finance of Deakin University in Melbourne, Australia, where he's a Visiting Professor in Finance. His interests are in financial econometrics and financial engineering, portfolio theory and management, international financial markets and bank risk management. An author of more than 100 articles, book chapters, refereed conference papers, etc., Professor Los has written for numerous international publications. As a financial modeler, interested in inverse problems of non-stationary data series analysis, he researches the efficiency of financial markets, in particular, of FX and stock markets in Asia. He studies their long-term dependence characteristics, via the computation of L-stable distributions (power or scaling laws) of high frequency speculative pricing series, and via the computation of Lipschitz exponents by wavelet multi-resolution analysis. He also assesses the impact of long term dependence on investment opportunity sets. He has 20 years experience in financial services and he has been a Senior Economist of the Federal Reserve Bank of NY and of Nomura Research Institute (America) and the Chief Economist of ING Bank in New York. His bio is recorded in several of Marquis' Who's Whos.

Détails de l'édition

• Éditeur: World Scientific Publishing Co Pte Ltd
• Date d'édition: 2000
• Langue: anglais
• ISBN 10: 9810244975
• ISBN 13: 9789810244972
• Reliure: Broché
• Nombre de pages: 342
• Coordonnées du fabricant: non disponible
• Personne responsable: gpsr@libri.de; gpsr@libri.de; ; Friedensallee 273; Hamburg; 22763; Allemagne