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A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem. |
The substance of the speech delivered in the Committee of finance, January 29th, 1807
Автор: Henry Petty
Год издания:
Профессиональный английский: финансы и кредит. Professional English in Use: Finance and Credit
Автор: Эмилия Комарова
Год издания:
Английский язык в бухгалтерском учете и финансах компаний / English in accounting and company finance
Автор: Н. П. Татьянченко
Год издания:
The Present State of Hayti (Saint Domingo) with Remarks on its Agriculture, Commerce, Laws, Religion, Finances, and Population
Автор: Franklin Jameson J.
Год издания: