Numerical Methods for Finance

Dempster, M.A.H. (Series edited by)/ Madan, Dilip B. (Series edited by)/ Cont, Rama (Series edited by)/ Miller, John (Edited by)/ Edelman, David (Edited by)/ Appleby, John (Edited by)

ISBN 10: 158488925X / ISBN 13: 9781584889250

Published by Chapman & Hall, 2007

About this Item

1st edition. 312 pages. 9.50x6.50x0.75 inches. In Stock.

Seller Inventory # __158488925X

Bibliographic Details

• Title: Numerical Methods for Finance
• Publisher: Chapman & Hall
• Publication Date: 2007
• Language: English
• ISBN 10: 158488925X
• ISBN 13: 9781584889250
• Binding: Hardcover
• Condition: Brand New
• Weight: 0.58 kilograms

About this title

Synopsis

Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field. Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities. Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

About the Author

John A. D. Appleby , David C. Edelman, John J. H. Miller