Overview
Numerical Methods in Finance have recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. They bridge the gap between financial theory and computational practice and provide solutions to problems where analytical methods are often non-applicable. Numerical methods are more and more used in several topics of financial analy sis: computation of complex derivatives; market, credit and operational risk assess ment, asset liability management, optimal portfolio theory, financial econometrics and others. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research focusing on various numerical methods in finance. The contributions cover methodological issues. Genetic Algorithms, Neural Net works, Monte-Carlo methods, Finite Difference Methods, Stochastic Portfolio Opti mization as well as the application of other numerical methods in finance and risk management. As editor, I am grateful to the contributors for their fruitful collaboration. I would particularly like to thankStefan Trueck and Carlo Marinelli for the excellent editorial assistance received over the progress of this project. Thomas Plum did a splendid word-processingjob in preparing the manuscript. lowe much to George Anastassiou (ConsultantEditor, Birkhauser) and Ann Kostant Executive Editor, Mathematics and Physics, Birkhauser for their help and encouragement.
Full Product Details
Author: George A. Anastassiou ,
Svetlozar T. Rachev
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: Softcover reprint of the original 1st ed. 2004
Dimensions:
Width: 15.50cm
, Height: 2.30cm
, Length: 23.50cm
Weight: 0.682kg
ISBN: 9781461264767
ISBN 10: 1461264766
Pages: 435
Publication Date: 21 October 2012
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
The title of this book my be somewhat misleading-- as an edited volume, it contains several papers on some issues in quantitative finance. Most contributions have a computational/numerical slant. It is no surprise that several papers concentrate on heavy-tailed models, in particular Pareto-type models figure prominently. For me, the highlight is the paper by Kohatsu-Higa and Montero on Malliavan Calculus in Finance . This seventy plus page paper gives a very readable introduction to this imporatnt field of current research. A further enjoyable paper is Modern Heuirstics for Finance Problems: A Survey of Selected Mehtods and Applications: by Schlottmann and Seese. ---Publication of the International Statistical Institute
"""The title of this book my be somewhat misleading-- as an edited volume, it contains several papers on some issues in quantitative finance. Most contributions have a computational/numerical slant. It is no surprise that several papers concentrate on heavy-tailed models, in particular Pareto-type models figure prominently. For me, the highlight is the paper by Kohatsu-Higa and Montero on ""Malliavan Calculus in Finance"". This seventy plus page paper gives a very readable introduction to this imporatnt field of current research. A further enjoyable paper is ""Modern Heuirstics for Finance Problems: A Survey of Selected Mehtods and Applications: by Schlottmann and Seese."" ---Publication of the International Statistical Institute"
""The title of this book my be somewhat misleading-- as an edited volume, it contains several papers on some issues in quantitative finance. Most contributions have a computational/numerical slant. It is no surprise that several papers concentrate on heavy-tailed models, in particular Pareto-type models figure prominently. For me, the highlight is the paper by Kohatsu-Higa and Montero on ""Malliavan Calculus in Finance"". This seventy plus page paper gives a very readable introduction to this imporatnt field of current research. A further enjoyable paper is ""Modern Heuirstics for Finance Problems: A Survey of Selected Mehtods and Applications: by Schlottmann and Seese."" ---Publication of the International Statistical Institute
