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Author: Guido Deboeck
Publisher: Springer Science & Business Media
ISBN: 1447139135
Category : Mathematics
Languages : en
Pages : 306
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Book Description
Edited by Guido Deboeck, a leading exponent in the use of computation intelligence methods in finance and economic forecasting, and the originator of SOM, Teuvo Kohonen. An 8-page color section makes this book unique, colorful and exciting to read. Each chapter contains exercises and solutions, perfectly suited to aid self-study.
Author: Guido Deboeck
Publisher: Springer Science & Business Media
ISBN: 1447139135
Category : Mathematics
Languages : en
Pages : 306
Get Book Here
Book Description
Edited by Guido Deboeck, a leading exponent in the use of computation intelligence methods in finance and economic forecasting, and the originator of SOM, Teuvo Kohonen. An 8-page color section makes this book unique, colorful and exciting to read. Each chapter contains exercises and solutions, perfectly suited to aid self-study.
Author: John van der Hoek
Publisher: Springer Science & Business Media
ISBN: 0387316078
Category : Business & Economics
Languages : en
Pages : 309
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Book Description
This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents,upperlevelundergraduatestudents,beginningdoctoralstudents,qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible level. The basic building block in our book is the one-step binomial model where a known price today can take one of two possible values at a future time, which might, for example, be tomorrow, or next month, or next year. In this simple situation “risk neutral pricing” can be de?ned and the model can be applied to price forward contracts, exchange rate contracts and interest rate derivatives. In a few places we discuss multinomial models to explain the notions of incomplete markets and how pricing can be viewed in such a context, where unique prices are no longer available. The simple one-period framework can then be extended to multi-period m- els.TheCox-Ross-RubinsteinapproximationtotheBlackScholesoptionpr- ing formula is an immediate consequence. American, barrier and exotic - tions can all be discussed and priced using binomial models. More precise modelling issues such as implied volatility trees and implied binomial trees are treated, as well as interest rate models like those due to Ho and Lee; and Black, Derman and Toy.
Author: B.Philipp Kellerhals
Publisher: Springer Science & Business Media
ISBN: 3540246975
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
Author: Manuel Ammann
Publisher: Springer Science & Business Media
ISBN: 3662064251
Category : Business & Economics
Languages : en
Pages : 259
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Book Description
This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
Author: Damiano Brigo
Publisher: Springer Science & Business Media
ISBN: 3662045532
Category : Mathematics
Languages : en
Pages : 544
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Book Description
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Author: Mario Giacobini
Publisher: Springer Science & Business Media
ISBN: 3642011284
Category : Computers
Languages : en
Pages : 857
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Book Description
This book constitutes the refereed joint proceedings of eleven European workshops on the Theory and Applications of Evolutionary Computation, EvoWorkshops 2009, held in Tübingen, Germany, in April 2009 within the scope of the EvoStar 2009 event. The 68 revised full papers and 23 revised short papers presented were carefully reviewed and selected from a total of 143 submissions. With respect to the eleven workshops covered, the papers are organized in topical sections on telecommunication networks and other parallel and distributed systems, environmental issues, finance and economics, games, design automation, image analysis and signal processing, interactive evolution and humanized computational intelligence, music, sound, art and design, continuous parameter optimisation, stochastic and dynamic environments, as well as transportation and logistics.
Author: Rudi Zagst
Publisher: Springer Science & Business Media
ISBN: 3662121069
Category : Business & Economics
Languages : en
Pages : 349
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Book Description
This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
Author: Attilio Meucci
Publisher: Springer Science & Business Media
ISBN: 3642009646
Category : Business & Economics
Languages : en
Pages : 547
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Book Description
Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site
Author: Robert Buff
Publisher: Springer Science & Business Media
ISBN: 3642563236
Category : Mathematics
Languages : en
Pages : 246
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Book Description
This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.
Author: Marc Yor
Publisher: Springer Science & Business Media
ISBN: 3642566340
Category : Mathematics
Languages : en
Pages : 213
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Book Description
This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.
