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Numerical Methods for Finance
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Numerical Methods for Finance

Book Details

Format Paperback / Softback
ISBN-10 0367388596
ISBN-13 9780367388591
Publisher Taylor & Francis Ltd
Imprint Chapman & Hall/CRC
Country of Manufacture GB
Country of Publication GB
Publication Date Sep 19th, 2019
Print length 312 Pages
Weight 480 grams
Dimensions 23.30 x 15.50 x 2.00 cms
Product Classification: Economic statistics Finance & accounting Probability & statistics Applied mathematics
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Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It provides valuable, practical information about credit risks, exotic/hybrid options, retirement plans/pensions, life insurance, portfolio selection, incentive schemes, and interest rate modeling. The book presents a variety of novel mathematical methods involving finite-difference, Monte Carlo, and fast Fourier transform techniques. It also offers realistic alternatives to the VaR approach used in financial risk management practice and identifies potential pitfalls of standard methodologies.
Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field.

Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities.

Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

Get Numerical Methods for Finance by at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Taylor & Francis Ltd and it has pages.

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