Computational Methods in Finance

Hirsa, Ali

ISBN 10: 1439829578 / ISBN 13: 9781439829578

Published by CRC Press Inc, Bosa Roca, 2012

About this Item

***INTERNATIONAL EDITION*** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments contain tracking numbers. Great professional textbook selling experience and expedite shipping service. Glued binding. 444 p. Chapman & Hall/CRC Financial Mathematics Series. Audience: College/higher education.

Seller Inventory # K2940001172

Bibliographic Details

• Title: Computational Methods in Finance
• Publisher: CRC Press Inc, Bosa Roca
• Publication Date: 2012
• Language: English
• ISBN 10: 1439829578
• ISBN 13: 9781439829578
• Binding: Trade paperback
• Edition: First edition. INTERNATIONAL EDITION
• Condition: New in new dust jacket.

About this title

Synopsis

As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods.

The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets. It then examines many computational approaches for pricing derivatives. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.

The next part focuses on essential steps in real-world derivative pricing. The author discusses how to calibrate model parameters so that model prices are compatible with market prices. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation.

Developed from the author’s courses at Columbia University and the Courant Institute of New York University, this self-contained text is designed for graduate students in financial engineering and mathematical finance as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives.

About the Author

Ali Hirsa is head of Analytical Trading Strategy at Caspian Capital Management. Dr. Hirsa is also an adjunct professor at Columbia University and NYU’s Courant Institute of Mathematical Sciences.