Numerical Methods for Finance

John Miller

ISBN 10: 158488925X / ISBN 13: 9781584889250

Published by Taylor & Francis Inc Sep 2007, 2007

About this Item

Neuware - 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 provides valuable, practical information about credit risks, exotic/hybrid options, retirement plans/pensions, life insurance, portfolio selection, incentive schemes, and interest rate modeling. The book presents a variety of novel mathematical methods involving finite-difference, Monte Carlo, and fast Fourier transform techniques. It also offers realistic alternatives to the VaR approach used in financial risk management practice and identifies potential pitfalls of standard methodologies.

Seller Inventory # 9781584889250

Bibliographic Details

• Title: Numerical Methods for Finance
• Publisher: Taylor & Francis Inc Sep 2007
• Publication Date: 2007
• Language: English
• ISBN 10: 158488925X
• ISBN 13: 9781584889250
• Binding: Buch
• Condition: Neu
• Dimensions: 234W x 156H x 0D millimeters 234 millimeters width by 156 millimeters height by 0 millimeters depth
• Weight: 582 grams

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