Proceedings of the Second International Forum on Financial Mathematics and Financial Technology, Zheng
Автор: Farmer J.D. et al. Название: Handbook of financial stress testing ISBN: 1108830730 ISBN-13(EAN): 9781108830737 Издательство: Cambridge Academ Рейтинг: Цена: 234420.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Stress tests are the most innovative regulatory tool to prevent and fight financial crises. This handbook discusses their current uses and future development. Written by an international team of leading thinkers, it is essential reading for researchers, practitioners and policymakers working on financial risk management and financial regulation.
Автор: Agostino Capponi, C. -A. Lehalle Название: Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices -1st ed. ISBN: 1316516199 ISBN-13(EAN): 9781316516195 Издательство: Cambridge Academ Рейтинг: Цена: 105600.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
Автор: Dempster M.A.H. Название: Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, 2 ed. ISBN: 1032208171 ISBN-13(EAN): 9781032208176 Издательство: Taylor&Francis Рейтинг: Цена: 163330.00 T Наличие на складе: Нет в наличии. Описание: -Up-to-date with cutting edge topics -Suitable for professional quants and as library reference for students of finance and financial mathematics
Автор: Zheng Zhiyong Название: Proceedings of the First International Forum on Financial Mathematics and Financial Technology ISBN: 9811583722 ISBN-13(EAN): 9789811583728 Издательство: Springer Цена: 204970.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology.
Автор: Zheng Zhiyong Название: Proceedings of the First International Forum on Financial Mathematics and Financial Technology ISBN: 9811583757 ISBN-13(EAN): 9789811583759 Издательство: Springer Рейтинг: Цена: 204970.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology.
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: Campolieti Название: Financial Mathematics ISBN: 1439892423 ISBN-13(EAN): 9781439892428 Издательство: Taylor&Francis Рейтинг: Цена: 112290.00 T Наличие на складе: Нет в наличии. Описание: Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones. Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
Автор: Ruttiens Alain Название: Mathematics of the Financial Markets ISBN: 1118513452 ISBN-13(EAN): 9781118513453 Издательство: Wiley Рейтинг: Цена: 63360.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
The book aims to prioritise what needs mastering and presentsthe content in the most understandable, concise and pedagogical wayillustrated by real market examples. Given the variety and thecomplexity of the materials the book covers, the author sortsthrough a vast array of topics in a subjective way, relying uponmore than twenty years of experience as a market practitioner. Thebook only requires the reader to be knowledgeable in the basics ofalgebra and statistics.
The Mathematical formulae are only fully proven when the proofbrings some useful insight. These formulae are translated fromalgebra into plain English to aid understanding as the vastmajority of practitioners involved in the financial markets are notrequired to compute or calculate prices or sensitivities themselvesas they have access to data providers. Thus, the intention of thisbook is for the practitioner to gain a deeper understanding ofthese calculations, both for a safety reason - it is betterto understand what is behind the data we manipulate - andsecondly being able to appreciate the magnitude of the prices weare confronted with and being able to draft a rough calculation, aside of the market data.
The author has avoided excessive formalism where possible.Formalism is securing the outputs of research, but may, in othercircumstances, burden the understanding by non-mathematicians; anexample of this case is in the chapter dedicated to the basis ofstochastic calculus.
The book is divided into two parts:
First, the deterministic world, starting from the yield curvebuilding and related calculations (spot rates, forward rates, discrete versus continuous compounding, etc.), and continuing withspot instruments valuation (short term rates, bonds, currencies andstocks) and forward instruments valuation (forward forex, FRAs andvariants, swaps & futures);
Second, the probabilistic world, starting with the basis ofstochastic calculus and the alternative approach of ARMA to GARCH, and continuing with derivative pricing: options, second generationoptions, volatility, credit derivatives;
This second part is completed by a chapter dedicated to marketperformance & risk measures, and a chapter widening the scopeof quantitative models beyond the Gaussian hypothesis andevidencing the potential troubles linked to derivative pricingmodels.
Автор: Roncalli Название: Introduction to Risk Parity and Budgeting ISBN: 148220715X ISBN-13(EAN): 9781482207156 Издательство: Taylor&Francis Рейтинг: Цена: 88800.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies.
Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy.
The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes.
The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the author's website.
Автор: Ali Hirsa Название: An Introduction to the Mathematics of Financial Derivatives, ISBN: 012384682X ISBN-13(EAN): 9780123846822 Издательство: Elsevier Science Рейтинг: Цена: 88690.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: A text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. It encourages use of discrete chapters as complementary readings on different topics.
Автор: Tretyakov M V Название: Introductory Course on Financial Mathematics ISBN: 1908977388 ISBN-13(EAN): 9781908977380 Издательство: World Scientific Publishing Цена: 50690.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book.Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective of quantifying and hedging risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas concerning derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a 'sandwich' structure: probability and stochastics are given in situ where mathematics can be readily illustrated by application to finance.The first part of the book introduces one of the main principles in finance -- 'no arbitrage pricing'. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. The second part deals with pricing and hedging of European- and American-type options in the discrete-time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time discrete-space stochastic processes used in financial modelling are considered. The third part introduces the Wiener process, Ito integrals and stochastic differential equations, but its main focus is the famous Black-Scholes formula for pricing European options. Some guidance for further study within this exciting and rapidly changing field is given in the concluding chapter. There are approximately 100 exercises interspersed throughout the book, and solutions for most problems are provided in the appendices.
Автор: Miller Michael B Название: Mathematics and Statistics for Financial Risk Management ISBN: 1118750292 ISBN-13(EAN): 9781118750292 Издательство: Wiley Рейтинг: Цена: 88710.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics.
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