Computational finance: numerical methods for pricing financial instruments
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford
Elsevier Butterworth-Heinemann
2004
|
| Schriftenreihe: | Quantitative finance series
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Series statement from dust cover Includes bibliographical references (p. [432]-438) and index Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j Cover -- Contents -- Preface -- Part I: Using Numerical Software Components within Microsoft Windows -- Chapter 1: Introduction -- Chapter 2: Dynamic Link Libraries (DLLs) -- 2.1 Visual Basic and Excel VBA -- 2.2 VB.NET -- 2.3 C♯ -- Chapter 3: ActiveX and COM -- 3.1 Introduction -- 3.2 The COM interface IDispatch -- 3.3 Type libraries -- 3.4 Using IDispatch -- 3.5 ActiveX controls and the Internet -- 3.6 Using ActiveX components on a Web page -- Chapter 4: A Financial Derivative Pricing Example -- 4.1 Interactive user-interface -- 4.2 Language user-interface -- 4.3 Use within Delphi -- Chapter 5: ActiveX Components and Numerical Optimization -- 5.1 Ray tracing example -- 5.2 Portfolio allocation example -- 5.3 Numerical optimization within Microsoft Excel -- Chapter 6: XML and Transformation Using XSL -- 6.1 Introduction -- 6.2 XML -- 6.3 XML schema -- 6.4 XSL -- 6.5 Stock market data example -- Chapter 7: Epilogue -- 7.1 Wrapping C with Cþþ for OO numerics in .NET -- - 7.2 Final remarks -- Part II: Pricing Assets -- Chapter 8: Introduction -- 8.1 An introduction to options and derivatives -- 8.2 Brownian motion -- 8.3 A Brownian model of asset price movements -- 8.4 Ito's lemma in one dimension -- 8.5 Ito's lemma in many dimensions -- Chapter 9: Analytic Methods and Single Asset European Options -- 9.1 Introduction -- 9.2 Put-call parity -- 9.3 Vanilla options and the Black-Scholes model -- 9.4 Barrier options -- Chapter 10: Numeric Methods and Single Asset American Options -- 10.1 Introduction -- 10.2 Perpetual options -- 10.3 Approximations for vanilla American options -- 10.4 Lattice methods for vanilla options -- 10.5 Implied lattice methods -- 10.6 Grid methods for vanilla options -- 10.7 Pricing American options using a stochastic lattice -- Chapter 11: Monte Carlo Simulation -- 11.1 Introduction -- 11.2 Pseudorandomand quasirandomsequenc es -- 11.3 Generation of multivariate distributions: independent variates -- - 11.4 Generation of multivariate distributions: correlated variates -- Chapter 12: Multiasset European and American Options -- 12.1 Introduction -- 12.2 The multiasset Black-Scholes equation -- 12.3 Multidimensional Monte Carlo methods -- 12.4 Multidimensional lattice methods -- 12.5 Two asset options -- 12.6 Three asset options -- 12.7 Four asset options -- Chapter 13: Dealing with Missing Data -- 13.1 Introduction -- 13.2 Iterative multiple linear regression, MREG -- 13.3 The EM algorithm -- Part III: Financial Econometrics -- Chapter 14: Introduction -- 14.1 Asset returns -- 14.2 Nonsynchronous trading -- 14.3 Bid-ask spread -- 14.4 Models of volatility -- 14.5 Stochastic autoregressive volatility, ARV -- 14.6 Generalized hyperbolic Levy motion -- Chapter 15: GARCH Models -- 15.1 Box Jenkins models -- 15.2 Gaussian Linear GARCH -- 15.3 The IGARCH model -- 15.4 The GARCH-M model -- 15.5 Regression-GARCH and |
| Beschreibung: | 1 Online-Ressource (xiv, 443 p.) |
| ISBN: | 9780080472270 0080472273 0750657227 9780750657228 |
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Datensatz im Suchindex
| _version_ | 1804175293827514368 |
|---|---|
| any_adam_object | |
| author | Levy, George |
| author_facet | Levy, George |
| author_role | aut |
| author_sort | Levy, George |
| author_variant | g l gl |
| building | Verbundindex |
| bvnumber | BV042966992 |
| collection | ZDB-4-EBA ZDB-4-EBU |
| ctrlnum | (OCoLC)123912142 (DE-599)BVBBV042966992 |
| dewey-full | 332.01/5197 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5197 |
| dewey-search | 332.01/5197 |
| dewey-sort | 3332.01 45197 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042966992 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:59Z |
| institution | BVB |
| isbn | 9780080472270 0080472273 0750657227 9780750657228 |
| language | English |
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| oclc_num | 123912142 |
| open_access_boolean | |
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| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xiv, 443 p.) |
| psigel | ZDB-4-EBA ZDB-4-EBU FAW_PDA_EBA FLA_PDA_EBU |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Elsevier Butterworth-Heinemann |
| record_format | marc |
| series2 | Quantitative finance series |
| spelling | Levy, George Verfasser aut Computational finance numerical methods for pricing financial instruments George Levy Oxford Elsevier Butterworth-Heinemann 2004 1 Online-Ressource (xiv, 443 p.) txt rdacontent c rdamedia cr rdacarrier Quantitative finance series Series statement from dust cover Includes bibliographical references (p. [432]-438) and index Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book."--D.j Cover -- Contents -- Preface -- Part I: Using Numerical Software Components within Microsoft Windows -- Chapter 1: Introduction -- Chapter 2: Dynamic Link Libraries (DLLs) -- 2.1 Visual Basic and Excel VBA -- 2.2 VB.NET -- 2.3 C♯ -- Chapter 3: ActiveX and COM -- 3.1 Introduction -- 3.2 The COM interface IDispatch -- 3.3 Type libraries -- 3.4 Using IDispatch -- 3.5 ActiveX controls and the Internet -- 3.6 Using ActiveX components on a Web page -- Chapter 4: A Financial Derivative Pricing Example -- 4.1 Interactive user-interface -- 4.2 Language user-interface -- 4.3 Use within Delphi -- Chapter 5: ActiveX Components and Numerical Optimization -- 5.1 Ray tracing example -- 5.2 Portfolio allocation example -- 5.3 Numerical optimization within Microsoft Excel -- Chapter 6: XML and Transformation Using XSL -- 6.1 Introduction -- 6.2 XML -- 6.3 XML schema -- 6.4 XSL -- 6.5 Stock market data example -- Chapter 7: Epilogue -- 7.1 Wrapping C with Cþþ for OO numerics in .NET -- - 7.2 Final remarks -- Part II: Pricing Assets -- Chapter 8: Introduction -- 8.1 An introduction to options and derivatives -- 8.2 Brownian motion -- 8.3 A Brownian model of asset price movements -- 8.4 Ito's lemma in one dimension -- 8.5 Ito's lemma in many dimensions -- Chapter 9: Analytic Methods and Single Asset European Options -- 9.1 Introduction -- 9.2 Put-call parity -- 9.3 Vanilla options and the Black-Scholes model -- 9.4 Barrier options -- Chapter 10: Numeric Methods and Single Asset American Options -- 10.1 Introduction -- 10.2 Perpetual options -- 10.3 Approximations for vanilla American options -- 10.4 Lattice methods for vanilla options -- 10.5 Implied lattice methods -- 10.6 Grid methods for vanilla options -- 10.7 Pricing American options using a stochastic lattice -- Chapter 11: Monte Carlo Simulation -- 11.1 Introduction -- 11.2 Pseudorandomand quasirandomsequenc es -- 11.3 Generation of multivariate distributions: independent variates -- - 11.4 Generation of multivariate distributions: correlated variates -- Chapter 12: Multiasset European and American Options -- 12.1 Introduction -- 12.2 The multiasset Black-Scholes equation -- 12.3 Multidimensional Monte Carlo methods -- 12.4 Multidimensional lattice methods -- 12.5 Two asset options -- 12.6 Three asset options -- 12.7 Four asset options -- Chapter 13: Dealing with Missing Data -- 13.1 Introduction -- 13.2 Iterative multiple linear regression, MREG -- 13.3 The EM algorithm -- Part III: Financial Econometrics -- Chapter 14: Introduction -- 14.1 Asset returns -- 14.2 Nonsynchronous trading -- 14.3 Bid-ask spread -- 14.4 Models of volatility -- 14.5 Stochastic autoregressive volatility, ARV -- 14.6 Generalized hyperbolic Levy motion -- Chapter 15: GARCH Models -- 15.1 Box Jenkins models -- 15.2 Gaussian Linear GARCH -- 15.3 The IGARCH model -- 15.4 The GARCH-M model -- 15.5 Regression-GARCH and Finances / Modèles mathématiques Finances / Informatique Finances / Logiciels BUSINESS & ECONOMICS / Finance bisacsh Financieel management gtt Numerieke methoden gtt Finanças (modelos matemáticos) larpcal Finanças (processamento de dados) larpcal Finance / Computer programs fast Finance / Data processing fast Finance / Mathematical models fast Datenverarbeitung Mathematisches Modell Wirtschaft Finance Mathematical models Finance Data processing Finance Computer programs Numerisches Verfahren (DE-588)4128130-5 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Computerunterstütztes Verfahren (DE-588)4139030-1 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 s Numerisches Verfahren (DE-588)4128130-5 s Computerunterstütztes Verfahren (DE-588)4139030-1 s 1\p DE-604 Ökonometrie (DE-588)4132280-0 s 2\p DE-604 Mathematisches Modell (DE-588)4114528-8 s 3\p DE-604 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=104697 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Levy, George Computational finance numerical methods for pricing financial instruments Finances / Modèles mathématiques Finances / Informatique Finances / Logiciels BUSINESS & ECONOMICS / Finance bisacsh Financieel management gtt Numerieke methoden gtt Finanças (modelos matemáticos) larpcal Finanças (processamento de dados) larpcal Finance / Computer programs fast Finance / Data processing fast Finance / Mathematical models fast Datenverarbeitung Mathematisches Modell Wirtschaft Finance Mathematical models Finance Data processing Finance Computer programs Numerisches Verfahren (DE-588)4128130-5 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzinnovation (DE-588)4124975-6 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4128130-5 (DE-588)4132280-0 (DE-588)4124975-6 (DE-588)4139030-1 (DE-588)4114528-8 |
| title | Computational finance numerical methods for pricing financial instruments |
| title_auth | Computational finance numerical methods for pricing financial instruments |
| title_exact_search | Computational finance numerical methods for pricing financial instruments |
| title_full | Computational finance numerical methods for pricing financial instruments George Levy |
| title_fullStr | Computational finance numerical methods for pricing financial instruments George Levy |
| title_full_unstemmed | Computational finance numerical methods for pricing financial instruments George Levy |
| title_short | Computational finance |
| title_sort | computational finance numerical methods for pricing financial instruments |
| title_sub | numerical methods for pricing financial instruments |
| topic | Finances / Modèles mathématiques Finances / Informatique Finances / Logiciels BUSINESS & ECONOMICS / Finance bisacsh Financieel management gtt Numerieke methoden gtt Finanças (modelos matemáticos) larpcal Finanças (processamento de dados) larpcal Finance / Computer programs fast Finance / Data processing fast Finance / Mathematical models fast Datenverarbeitung Mathematisches Modell Wirtschaft Finance Mathematical models Finance Data processing Finance Computer programs Numerisches Verfahren (DE-588)4128130-5 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzinnovation (DE-588)4124975-6 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Finances / Modèles mathématiques Finances / Informatique Finances / Logiciels BUSINESS & ECONOMICS / Finance Financieel management Numerieke methoden Finanças (modelos matemáticos) Finanças (processamento de dados) Finance / Computer programs Finance / Data processing Finance / Mathematical models Datenverarbeitung Mathematisches Modell Wirtschaft Finance Mathematical models Finance Data processing Finance Computer programs Numerisches Verfahren Ökonometrie Finanzinnovation Computerunterstütztes Verfahren |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=104697 |
| work_keys_str_mv | AT levygeorge computationalfinancenumericalmethodsforpricingfinancialinstruments |