Overview

This text addresses a variety of numerical methods for pricing derivative contracts, including Fourier techniques, finite differences, numerical simulation, and Monte Carlo simulation methods--one of the first books to cover all of these techniques. After presenting the basics of pricing techniques, it covers key concepts of calibration and parameter estimation. Written by a popular professor at Columbia University and NYU's Courant Institute, the book is suitable for any graduate course on computational finance in financial engineering and financial mathematics programs as well as for practitioners interested in computational methods in finance.

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9781439829578

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Reviews

A long-time expert in computational finance, Ali Hirsa brings his excellent expository skills to bear on not just one technique but the whole panoply, from finite difference solutions to PDEs/PIDEs through simulation to calibration and parameter estimation. -Emanuel Derman, professor at Columbia University and author of Models Behaving Badly

The depth and breadth of this stand-alone textbook on computational methods in finance is astonishing. It brings together a full-spectrum of methods with many practical examples. ... the purpose of the book is to aid the understanding and solving of current problems in computational finance. ... an excellent synthesis of numerical methods needed for solving practical problems in finance. This book provides plenty of exercises and realistic case studies. Those who work through them will gain a deep understanding of the modern computational methods in finance. This uniquely comprehensive and well-written book will undoubtedly prove invaluable to many researchers and practitioners. In addition, it seems to be an excellent teaching book. -Lasse Koskinen, International Statistical Review (2013), 81 ... there are several sections on topics that are rarely treated in textbooks: saddle point approximations, numerical solution of PIDEs, and others. There is also extensive material on model calibration, including interest rate models and filtering approaches. The book is a very comprehensive and useful reference for anyone, even with limited mathematical background, who wishes to quickly understand techniques from computational finance. -Stefan Gerhold, Zentralblatt MATH 1260 A natural polymath, the author is at once a teacher, a trader, a quant, and now an author of a book for the ages. The content reflects the author's vast experience teaching master's level courses at Columbia and NYU, while simultaneously researching and trading on quantitative finance in leading banks and hedge funds. -Dr. Peter Carr, Global Head of Market Modeling, Morgan Stanley, and Executive Director of Masters in Math Finance, NYU Courant Institute of Mathematical Sciences A long-time expert in computational finance, Ali Hirsa brings his excellent expository skills to bear on not just one technique but the whole panoply, from finite difference solutions to PDEs/PIDEs through simulation to calibration and parameter estimation. -Emanuel Derman, professor at Columbia University and author of Models Behaving Badly

Author Information

Ali Hirsa is head of Analytical Trading Strategy at Caspian Capital Management. Dr. Hirsa is also an adjunct professor at Columbia University and NYU’s Courant Institute of Mathematical Sciences.

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