Contemporary Quantitative Finance, Carl Chiarella; Alexander Novikov
Автор: Shreve Название: Stochastic Calculus for Finance I ISBN: 0387401008 ISBN-13(EAN): 9780387401003 Издательство: Springer Рейтинг: Цена: 55890.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Developed for the professional Master`s program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several yearsExercises conclude every chapter;
Автор: Guyon Название: Nonlinear Pricing Methods in Quantitative Finance ISBN: 1466570334 ISBN-13(EAN): 9781466570337 Издательство: Taylor&Francis Рейтинг: Цена: 183750.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
New Tools to Solve Your Option Pricing Problems
For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research--including Risk magazine's 2013 Quant of the Year--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.
Real-World Solutions for Quantitative Analysts
The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.
Автор: Blyth Stephen Название: An Introduction to Quantitative Finance ISBN: 0199666598 ISBN-13(EAN): 9780199666591 Издательство: Oxford Academ Рейтинг: Цена: 45400.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
Автор: Jaime A. Londo?o; Jos? Garrido; Monique Jeanblanc Название: Actuarial Sciences and Quantitative Finance ISBN: 3319665340 ISBN-13(EAN): 9783319665344 Издательство: Springer Рейтинг: Цена: 121110.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance.
Автор: Arindam Chaudhuri; Soumya K. Ghosh Название: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory ISBN: 3319260375 ISBN-13(EAN): 9783319260372 Издательство: Springer Рейтинг: Цена: 111790.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book offers a comprehensive guide to the modelling of operational risk using possibility theory. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR.
Автор: Fusai Название: Implementing Models in Quantitative Finance: Methods and Cases ISBN: 3540223487 ISBN-13(EAN): 9783540223481 Издательство: Springer Рейтинг: Цена: 121110.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book puts numerical methods in action for the purpose of solving practical problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab or Visual Basic. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000.
Автор: Matt Davison Название: Quantitative Finance ISBN: 143987168X ISBN-13(EAN): 9781439871683 Издательство: Taylor&Francis Рейтинг: Цена: 91860.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Teach Your Students How to Become Successful Working Quants
Quantitative Finance: A Simulation-Based Introduction Using Excel provides an introduction to financial mathematics for students in applied mathematics, financial engineering, actuarial science, and business administration. The text not only enables students to practice with the basic techniques of financial mathematics, but it also helps them gain significant intuition about what the techniques mean, how they work, and what happens when they stop working.
After introducing risk, return, decision making under uncertainty, and traditional discounted cash flow project analysis, the book covers mortgages, bonds, and annuities using a blend of Excel simulation and difference equation or algebraic formalism. It then looks at how interest rate markets work and how to model bond prices before addressing mean variance portfolio optimization, the capital asset pricing model, options, and value at risk (VaR). The author next focuses on binomial model tools for pricing options and the analysis of discrete random walks. He also introduces stochastic calculus in a nonrigorous way and explains how to simulate geometric Brownian motion. The text proceeds to thoroughly discuss options pricing, mostly in continuous time. It concludes with chapters on stochastic models of the yield curve and incomplete markets using simple discrete models.
Accessible to students with a relatively modest level of mathematical background, this book will guide your students in becoming successful quants. It uses both hand calculations and Excel spreadsheets to analyze plenty of examples from simple bond portfolios. The spreadsheets are available on the book's CRC Press web page.
Автор: Hilber Norbert Название: Computational Methods for Quantitative Finance ISBN: 3642354009 ISBN-13(EAN): 9783642354007 Издательство: Springer Рейтинг: Цена: 83850.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to Levy, additive and classes of Feller processes.
Автор: Norbert Hilber; Oleg Reichmann; Christoph Schwab; Название: Computational Methods for Quantitative Finance ISBN: 3642435327 ISBN-13(EAN): 9783642435324 Издательство: Springer Рейтинг: Цена: 65210.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to Levy, additive and classes of Feller processes.
Автор: Fred Espen Benth; Valery A. Kholodnyi; Peter Laure Название: Quantitative Energy Finance ISBN: 1493952234 ISBN-13(EAN): 9781493952236 Издательство: Springer Рейтинг: Цена: 102480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book also confronts the challenges in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods.
Автор: Arindam Chaudhuri; Soumya K. Ghosh Название: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory ISBN: 3319374184 ISBN-13(EAN): 9783319374185 Издательство: Springer Рейтинг: Цена: 78350.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book offers a comprehensive guide to the modelling of operational risk using possibility theory. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR.
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