Andreas Binder

(Author)

A Workout in Computational Finance, with WebsiteHardcover, 23 September 2013

A Workout in Computational Finance, with Website
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Part of Series
Wiley Finance
Print Length
336 pages
Language
English
Publisher
Wiley
Date Published
23 Sep 2013
ISBN-10
1119971918
ISBN-13
9781119971917

Description

A comprehensive introduction to various numerical methods used in computational finance today

Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem.

Product Details

Authors:
Andreas BinderMichael Aichinger
Book Format:
Hardcover
Country of Origin:
GB
Date Published:
23 September 2013
Dimensions:
25.12 x 17.81 x 2.44 cm
Genre:
Business Aspects
ISBN-10:
1119971918
ISBN-13:
9781119971917
Language:
English
Pages:
336
Publisher:
Weight:
739.35 gm

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