Computational finance: a scientific perspective
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Singapore [u.a.]
World Scientific
2001
|
| Ausgabe: | 1. publ., repr. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 336 S. graph. Darst. |
| ISBN: | 9810244975 9810244967 |
Internformat
MARC
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| 100 | 1 | |a Los, Cornelis A. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Computational finance |b a scientific perspective |c Cornelis A. Los |
| 250 | |a 1. publ., repr. | ||
| 264 | 1 | |a Singapore [u.a.] |b World Scientific |c 2001 | |
| 300 | |a 336 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Finances - Modèles mathématiques | |
| 650 | 4 | |a Finances - Méthodes statistiques | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance -- Mathematical models | |
| 650 | 4 | |a Finance -- Statistical methods | |
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| 650 | 0 | 7 | |a Finanzplanungsmodell |0 (DE-588)4252015-0 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface
11
0.1
Objective
............................................................................11
0.2
History
..............................................................................13
0.3
Outline and Readers Guide
.......................................................15
0.4
Acknowledgements
................................................................16
A Scientific Perspective
19
1.1
Introduction
.........................................................................19
1.2
Financial Modeling and Computers
..............................................19
1.3
Epistemic
Uncertainty: Exact and Inexact Models
............................20
1.3.1
Exact Models, e.g.
,
Financial Statements
................................22
1.3.2
Inexact Models, e.g., Behavioral Relationships
.........................25
1.4
Identification, Simulation and Extrapolation
...................................26
1.5
Pro Forma Financial Statement Projections
....................................26
1.6
Envisioning Information: Unique Mappings
...................................26
1.7
Exercises
............................................................................28
1.8
Bibliography
..................................................................... 31
Capital Budgeting and Analytic Formulas
35
2.1
Introduction
........................................................................35
2.2
Present and Future Value Calculations
....................................... 35
2.3
Continuous and Discrete Compounding
........................................37
2.4
Expansions and
Euler
Formulas
.................................................37
2.4.1
Imaginary and Conjugate Complex Numbers and the
Euler
Relations
...............................................................39
2.5
Fourier and Wavelet Analysis
....................................................43
2.5.1
Fourier Series
................................................................43
2.5.2
Fourier Transform
...........................................................45
2.5.3
Wavelet
Transform
..........................................................45
2.5.4
Multiresolution Analysis
....................................................46
2.6
Exercises
.............................................................................47
2.7
Bibliography
..................................................................... 49
3
Fundamental Security Valuation
51
3.1
Introduction
.........................................................................51
3.2
Valuation of Bonds
.............................................................. 51
3.3
Yield Curve and Term Structure Analysis
......................................52
3.3.1
Custom-fitting of Bond Maturities
........................................53
3.3.2
Computing Forward Interest Rates
..................................... 53
3.4
Risk-Based Credit Ratings
........................................................53
3.5
Valuation of Stocks by Dividend Discount Models
........................ 54
3.6
Cash Flow and Ratio Analysis
...................................................55
3.7
Exercises
............................................................................56
3.8
Bibliography
..................................................................... 56
4
Analysis of Exact Data I
57
4.1
Introduction
.........................................................................57
4.2
First Two Moments
................................................................58
4.2.1
Expected Value and Variance
.............................................58
4.2.2
Covariance Matrix and Correlations
......................................60
4.3
Iso-Information Ellipsoids
........................................................61
4.3.1
Iso-Information Ellipsoids and Projections
............................ 62
4.3.2
Linear Loci of Certainty
....................................................63
4.3.3
Divariate
Least Squares Projections
......................................67
4.4
Envisoning
Divariate
Modeling Uncertainty
...................................70
4.5
Exercises
............................................................................71
4.6
Bibliography
........................................................................72
і
5
Analysis of Inexact Data II
75
5.1
Introduction
.........................................................................75
5-2
Complete Least Squares Projections
.............................................75
5.2.1
Two Important System Identification Theorems
........................75
5.2.2
Noise and Signal Projections
..............................................77
5.2.3
Noise/Data Ratios in Two-Dimensional Data
...........................79
5.3
Hypotheses
Non Fingo
......................................................... 79
5.3.1
Examples of an Uncertain (n,q)
= (3,2)
Model
..........................80
5.3.2
Observed Relative Frequencies and Theoretical Distributions
........86
5.4
Model Quality Measurement by Noise/Data Ratios
........................ 87
5.4.1
The Directionless i-Statistic
...............................................87
5.4.2
Modeling «-Dimensional Financial Risk
................................88
5.4.3
Noise/Data Ratios In
n-Dimensional
Data
..............................88
5.4.4
Modeling 3-Dimensional Uncertainty and Inexactness
................89
5.5
Stationarity Tests
..................................................................90
5.5.1
Stationarity Windowing
....................................................90
5.5.2
Inertia-Based Prediction
....................................................90
5.6
Exercises
.......................................................................... 91
5.6.1
Basic Understanding of CLS
..............................................91
5.6.2
Bank Performance Identification From Inexact Data
-
Trivariate Data Set
..........................................................92
5.6.3
Identification of
1928
Cobb-Douglas Production Model
-
Trivariate Data Set
..........................................................93
5.7
Bibliography
..................................................................... 95
6
Optimal Portfolio Formation
99
6.1
Introduction
.........................................................................99
6.2
Mean-Variance Analysis
..........................................................99
6.3
Efficient Frontier With Two Assets
.............................................100
6.4
Efficient Frontier With Multiple Assets
........................................102
6.5
Value-at-Risk and RiskMetrics™
.............................................. 105
6.5.1
Value-at-Risk
................................................................105
6.5.2
Singularity Problems of RiskMetrics™ and CreditMetrics™
.........108
6.6
Exercises
............................................................................110
6.7
Bibliography
..................................................................... 110
7
Systematic Financial Risk Analysis
113
7.1
Introduction
.........................................................................113
7.2
Fundamental Market Model
......................................................113
7.2.1
Systematic and Unsystematic Risk
.......................................114
7.2.2
Absolute and Relative Risk
................................................114
7.2.3
Sharpe
Ratio
.................................................................115
7.3
CAPM, Beta and
Epistemic
Risk
................................................115
7.3.1
Mutual Funds Selection Based on Beta
..................................117
7.4
Related
Topics
................................................................... 123
7.4.1
Multi-Factor Models
........................................................123
7.4.2
Mdmv Model Comparison Between CAPM and APT
.................124
7.5
Risk Aversion, Neutrality and Gambling
.................................... 129
7.6
Exercises
............................................................................131
7.7
Bibliography
........................................................................133
8
Complete Valuation and Dynamic Risk Theory
135
8.1
Introduction
.........................................................................135
8.2
Expected Return and Risk
.........................................................138
8.3
Complete Capital Market Pricing
................................................142
8.4
Risk-Neutral Pricing
...............................................................144
8.4.1
Single Price Law of Efficient Markets
...................................144
8.4.2
Arbitrage-Free Securities Design
..........................................148
8.5
Markov State Transition Theory
.................................................149
8.5.1
Exact Markov Dynamics
...................................................149
8.5.2
Limiting Markov Chain Distribution
.....................................150
8.5.3
Ehrenfest s Heat Exchange Example
.....................................154
8.6
Default and Credit Migration Frequencies
.....................................155
8.7
Exercises
............................................................................158
8.8
Bibliography
........................................................................160
9
Option Pricing I
163
9.1
Introduction
.........................................................................163
9.2
Pricing By Arbitrage
...............................................................164
9.3
Single-Period Binomial Option Pricing
.........................................166
9.3.1
Using Portfolio Theory
.....................................................167
9.3.2
Pseudo-Probabilities
........................................................169
9.3.3
Using CCMP Theory
.......................................................170
9.4
Multi-Period Binomial Option Pricing
..........................................171
9.5
Put-Call Parity
.....................................................................174
9.6
European, American and Asian Options
........................................175
9.7
Random Walks and Brownian Motion
....................................... 178
9.8
Exercises
............................................................................180
9.9
Bibliography
........................................................................181
10 Option
Pricing II
183
10.1
Introduction
.........................................................................183
10.2
Black-Scholes Option Pricing
....................................................185
10.2.1
Non-Dividend-Paying Stock
.............................................185
10.2.2
Continuous-Dividend-Paying Stock
.....................................190
10.3
Historical and Implied Volatility
.................................................191
10.3.1
Volatility Computation by Trial and Error
..........................191
10.3.2
Volatility Computation by At-the-Money Formula
..................192
10.4
Options Greek Alphabet
..........................................................193
10.5
Dynamic Hedging Strategies
.....................................................197
10.6
Exercises
............................................................................198
10.7
Bibliography
........................................................................199
11
Bond Portfolio Valuation and Management
201
11.1
Introduction
.........................................................................201
11.2
Bond Price Volatility
..............................................................201
11.2.1
Risks in Fixed Income Securities
.......................................201
11.2.2
Measures of Interest Rate Risk
..........................................202
11.3
Macauley and Modified Durations
..............................................204
v
11.3.1
Modified Duration
.........................................................204
11.3.2
Interpretation and Various Definitions
.................................204
11.3.3
Macauley Duration
........................................................205
11.3.4
Dollar Duration
............................................................207
11.3.5
Effective Duration
.........................................................207
11.4
Option-Adjusted Spreads and Imbedded Options
.............................207
11.5
Convexity
...........................................................................210
11.5.1
Definition of Convexity
..................................................211
11.5.2
Positive and Negative Convexity
.......................................211
11.6
Default Risk and Effective Duration of Bonds
.................................211
11.7
Bond Portfolio Immunization
....................................................213
11.8
Duration of Common Stocks
.....................................................215
11.9
Interest Rate Risk Management
..................................................216
11.9.1
Horizon Hedging
..........................................................217
11.10
Exercises
..........................................................................219
11.11
Bibliography
.....................................................................220
12
Forwards and Futures
223
12.1
Introduction
.........................................................................223
12.2
Forwards and Futures Valuation
.................................................223
12.2.1
Forwards and Futures Pricing
...........................................224
12.2.2
Foreign Exchange Futures
...............................................226
12.3
Risks in the Futures Markets
.....................................................227
12.3.1
Basis Risk
..................................................................227
12.3.2
Calendar Spread Risk
.....................................................228
12.4
Hedging with Futures
.............................................................228
12.4.1
Imperfect Insurance
.......................................................230
12.4.2
Portfolio Insurance?
......................................................232
12.5
Exercises
............................................................................234
12.6
Bibliography
........................................................................235
13
Swaps
237
13.1
Introduction
.........................................................................237
13.1.1
Reasons for Using Swaps
................................................237
13.2
Valuation of Interest Rate Swaps
.................................................238
13.2.1
Interest Rate Swaps
.......................................................238
13.2.2
Valuation of Interest Rate Swaps
.......................................239
13.2.3
Constructing a Swap Yield Curve
.......................................243
13.2.4
Computing the Discount Function
.......................................245
13.3
Valuation of Currency Swaps
....................................................246
13.3.1
Quoting Conventions
......................................................246
13.3.2
Valuation of Currency Swaps
...........................................248
13.4
Risks of Swaps Contracts
.........................................................250
13.4.1
Market and Credit Risk
...................................................250
13.4.2
Duration of a Swap
.......................................................251
13.5
Exercises
............................................................................251
13.6
Bibliography
........................................................................252
14
Multi-Currency Investments and Exact Performance Attribution
253
14.1
Introduction
.........................................................................253
14.2
Multi-Currency Investment Return Accounting
...............................255
14.2.1
Investment Strategy Return Attribution
................................255
14.2.2
Exact Cash Growth Accounting
.........................................256
14.2.3
Strategy Return
Matrices
.................................................257
14.3
Portfolio of Multi-Currency Investment Strategies
...........................259
14.3.1
Growth Accounting of Portfolio Investments
.........................259
14.3.2
Vectorization of Sequence of Strategy Matrices
......................260
14.3.3
Strategy Risk Matrices
...................................................263
14.3.4
Singularity of Strategy Risk Matrix
.....................................266
14.4
Multi-Currency Portfolio Optimization
.........................................267
14.4.1
Extended
Markowitz
Procedure
.........................................267
14.5
Exact Investment Performance Attribution
.....................................272
14.6
Exercises
............................................................................278
14.7
Bibliography
........................................................................280
A Algebraic Geometric Measurements of the Bivariate Model
283
В
Flow Chart of Linear Model Identification
287
С
3D
Noise/Signal Ratio
289
Ç1
Bibliography
........................................................................ 290
D
1986
Manifesto for
Identification
of Models From
291
Inexact Data
D.I Background
..........................................................................291
D.2 Proposed Research Path.
...........................................................292
D.3 Biographical Background
.........................................................292
E
List of (Computational) Finance Journals on the Internet
293
E.I Electronic Journals
..................................................................293
Index
............................................................................................295
|
| any_adam_object | 1 |
| author | Los, Cornelis A. |
| author_facet | Los, Cornelis A. |
| author_role | aut |
| author_sort | Los, Cornelis A. |
| author_variant | c a l ca cal |
| building | Verbundindex |
| bvnumber | BV013828434 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106.L67 2001 |
| callnumber-search | HG106.L67 2001 |
| callnumber-sort | HG 3106 L67 42001 |
| callnumber-subject | HG - Finance |
| classification_rvk | QH 500 QK 810 QP 730 |
| classification_tum | WIR 651f WIR 160f |
| ctrlnum | (OCoLC)45804747 (DE-599)BVBBV013828434 |
| dewey-full | 332/.01/51 332/.01/5121 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/51 332/.01/51 21 |
| dewey-search | 332/.01/51 332/.01/51 21 |
| dewey-sort | 3332 11 251 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ., repr. |
| format | Book |
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| id | DE-604.BV013828434 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:52:45Z |
| institution | BVB |
| isbn | 9810244975 9810244967 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009457317 |
| oclc_num | 45804747 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-91G DE-BY-TUM DE-91 DE-BY-TUM DE-739 DE-521 DE-11 |
| owner_facet | DE-473 DE-BY-UBG DE-91G DE-BY-TUM DE-91 DE-BY-TUM DE-739 DE-521 DE-11 |
| physical | 336 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | World Scientific |
| record_format | marc |
| spelling | Los, Cornelis A. Verfasser aut Computational finance a scientific perspective Cornelis A. Los 1. publ., repr. Singapore [u.a.] World Scientific 2001 336 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finances - Modèles mathématiques Finances - Méthodes statistiques Mathematisches Modell Finance -- Mathematical models Finance -- Statistical methods Datenverarbeitung (DE-588)4011152-0 gnd rswk-swf Programm (DE-588)4047394-6 gnd rswk-swf Finanzplanungsmodell (DE-588)4252015-0 gnd rswk-swf Finanzdienstleistung (DE-588)4212226-0 gnd rswk-swf Finanzplanungsmodell (DE-588)4252015-0 s Programm (DE-588)4047394-6 s DE-604 Finanzdienstleistung (DE-588)4212226-0 s Datenverarbeitung (DE-588)4011152-0 s Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009457317&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Los, Cornelis A. Computational finance a scientific perspective Finances - Modèles mathématiques Finances - Méthodes statistiques Mathematisches Modell Finance -- Mathematical models Finance -- Statistical methods Datenverarbeitung (DE-588)4011152-0 gnd Programm (DE-588)4047394-6 gnd Finanzplanungsmodell (DE-588)4252015-0 gnd Finanzdienstleistung (DE-588)4212226-0 gnd |
| subject_GND | (DE-588)4011152-0 (DE-588)4047394-6 (DE-588)4252015-0 (DE-588)4212226-0 |
| title | Computational finance a scientific perspective |
| title_auth | Computational finance a scientific perspective |
| title_exact_search | Computational finance a scientific perspective |
| title_full | Computational finance a scientific perspective Cornelis A. Los |
| title_fullStr | Computational finance a scientific perspective Cornelis A. Los |
| title_full_unstemmed | Computational finance a scientific perspective Cornelis A. Los |
| title_short | Computational finance |
| title_sort | computational finance a scientific perspective |
| title_sub | a scientific perspective |
| topic | Finances - Modèles mathématiques Finances - Méthodes statistiques Mathematisches Modell Finance -- Mathematical models Finance -- Statistical methods Datenverarbeitung (DE-588)4011152-0 gnd Programm (DE-588)4047394-6 gnd Finanzplanungsmodell (DE-588)4252015-0 gnd Finanzdienstleistung (DE-588)4212226-0 gnd |
| topic_facet | Finances - Modèles mathématiques Finances - Méthodes statistiques Mathematisches Modell Finance -- Mathematical models Finance -- Statistical methods Datenverarbeitung Programm Finanzplanungsmodell Finanzdienstleistung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009457317&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT loscornelisa computationalfinanceascientificperspective |