Handbook of computational finance:
Saved in:
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Heidelberg [u.a.]
Springer
2012
|
| Series: | Springer handbooks of computational statistics
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XI, 804 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 9783642172533 |
Staff View
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Record in the Search Index
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IMAGE 1
CONTENTS
PART I INTRODUCTION 1 COMPUTATIONAL FINANCE: AN INTRODUCTION 3
JIN-CHUAN DUAN, JAMES E. GENTLE, AND WOLFGANG KARL HARDIE
PART II ASSET PRICING MODELS
2 MODELING ASSET PRICES 15
JAMES E. GENTLE AND WOLFGANG KARL HARDIE 3 DIFFUSION MODELS OF ASSET
PRICES 35
JEROME DETEMPLE AND MARCEL RINDISBACHER 4 JUMP-DIFFUSION MODELS DRIVEN
BY LEVY PROCESSES 61
JOSE E. FIGUEROA-LOPEZ
5 MULTIVARIATE TIME SERIES MODELS FOR ASSET PRICES 89
CHRISTIAN M. HAFNER AND HANS MANNER
6 OPTION DATA AND MODELING BSM IMPLIED VOLATILITY 117
MATTHIAS R. FENGLER
7 INTEREST RATE DERIVATIVES PRICING WITH VOLATILITY SMILE 143 HAITAO LI
8 VOLATILITY INVESTING WITH VARIANCE SWAPS 203
WOLFGANG KARL HARDIE AND ELENA SILYAKOVA
PART III STATISTICAL INFERENCE IN FINANCIAL MODELS
9 EVALUATION OF ASSET PRICING MODELS USING TWO-PASS CROSS-SECTIONAL
REGRESSIONS 223
RAYMOND KAN AND CESARE ROBOTTI
V
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1007589566
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
10 PARAMETRIC ESTIMATION OF RISK NEUTRAL DENSITY FUNCTIONS 253 MARIA
GRITH AND VOLKER KRAETSCHMER
11 NONPARAMETRIC ESTIMATION OF RISK-NEUTRAL DENSITIES 277 MARIA GRITH,
WOLFGANG KARL HARDIE, AND MELANIE SCHIENLE
12 VALUE AT RISK ESTIMATION 307
YING CHEN AND JUN LU
13 VOLATILITY ESTIMATION BASED ON HIGH-FREQUENCY DATA 335 CHRISTIAN
PIGORSCH, UTA PIGORSCH, AND IVAYLO POPOV
14 IDENTIFYING JUMPS IN ASSET PRICES 371
JOHAN BJURSELL AND JAMES E. GENTLE
15 SIMULATION-BASED ESTIMATION METHODS FOR FINANCIAL TIME SERIES MODELS
401
JUNYU
PART IV COMPUTATIONAL METHODS
16 FILTERING METHODS 439
ANDRAS FULOP
17 FITTING HIGH-DIMENSIONAL COPULAE TO DATA 469
OSTAP OKHRIN
18 NUMERICAL METHODS FOR NONLINEAR PDES IN FINANCE 503
PETER A. FORSYTH AND KENNETH R. VETZAL
19 NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS IN FINANCE
529
TIMOTHY SAUER
20 LATTICE APPROACH AND IMPLIED TREES 551
RUEDIGER U. SEYDEL
21 EFFICIENT OPTIONS PRICING USING THE FAST FOURIER TRANSFORM 579 YUE
KUEN KWOK, KWAI SUN LEUNG, AND HOI YING WONG
22 DYNAMIC PROGRAMMING AND HEDGING STRATEGIES IN DISCRETE TIME . 605
SHIH-FENG HUANG AND MEIHUI GUO
23 APPROXIMATION OF DYNAMIC PROGRAMS 633
MICHELE BRETON AND JAVIER DE FRUTOS
24 COMPUTATIONAL ISSUES IN STRESS TESTING 65 1
LUDGER OVERBECK
25 PORTFOLIO OPTIMIZATION 675
JEROME DETEMPLE AND MARCEL RINDISBACHER
IMAGE 3
CONTENTS
26 LOW-DISCREPANCY SIMULATION 703
HARALD NIEDERREITER
27 INTRODUCTION TO SUPPORT VECTOR MACHINES AND THEIR APPLICATIONS IN
BANKRUPTCY PROGNOSIS 731
YUH-JYE LEE, YI-REN YEH, AND HSING-KUO PAO
PART V SOFTWARE TOOLS
28 MATLAB AS A TOOL IN COMPUTATIONAL FINANCE 765
JAMES E. GENTLE AND ANGEL MARTINEZ
29 RAS A TOOL IN COMPUTATIONAL FINANCE 781
JOHN P. NOLAN |
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| author2 | Duan, Jin-Chuan |
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| building | Verbundindex |
| bvnumber | BV036756595 |
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| dewey-full | 332.60285 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60285 |
| dewey-search | 332.60285 |
| dewey-sort | 3332.60285 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| institution | BVB |
| isbn | 9783642172533 |
| language | English |
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| physical | XI, 804 S. graph. Darst. 235 mm x 155 mm |
| publishDate | 2012 |
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| spelling | Handbook of computational finance Jin-Chuan Duan... eds. Heidelberg [u.a.] Springer 2012 XI, 804 S. graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Springer handbooks of computational statistics Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Computerunterstütztes Verfahren (DE-588)4139030-1 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Financial Engineering (DE-588)4208404-0 s Portfolio Selection (DE-588)4046834-3 s Computerunterstütztes Verfahren (DE-588)4139030-1 s DE-604 Duan, Jin-Chuan (DE-588)171085078 edt Erscheint auch als Online-Ausgabe 978-3-642-17254-0 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3549160&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020673758&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of computational finance Kreditmarkt (DE-588)4073788-3 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Financial Engineering (DE-588)4208404-0 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4139030-1 (DE-588)4208404-0 (DE-588)4046834-3 |
| title | Handbook of computational finance |
| title_auth | Handbook of computational finance |
| title_exact_search | Handbook of computational finance |
| title_full | Handbook of computational finance Jin-Chuan Duan... eds. |
| title_fullStr | Handbook of computational finance Jin-Chuan Duan... eds. |
| title_full_unstemmed | Handbook of computational finance Jin-Chuan Duan... eds. |
| title_short | Handbook of computational finance |
| title_sort | handbook of computational finance |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Financial Engineering (DE-588)4208404-0 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Kreditmarkt Computerunterstütztes Verfahren Financial Engineering Portfolio Selection |
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