Handbook of Computational Finance

Editors:

ISBN: 978-3-642-17253-3 (Print) 978-3-642-17254-0 (Online)

Table of contents (29 chapters)

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  1. Front Matter

    Pages i-xi

  2. Introduction

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-11

      Computational Finance: An Introduction

  3. Asset Pricing Models

    1. Front Matter

      Pages 13-13

    2. No Access

      Book Chapter

      Pages 15-33

      Modeling Asset Prices

    3. No Access

      Book Chapter

      Pages 35-60

      Diffusion Models of Asset Prices

    4. No Access

      Book Chapter

      Pages 61-88

      Jump-Diffusion Models Driven by Lévy Processes

    5. No Access

      Book Chapter

      Pages 89-115

      Multivariate Time Series Models for Asset Prices

    6. No Access

      Book Chapter

      Pages 117-142

      Option Data and Modeling BSM Implied Volatility

    7. No Access

      Book Chapter

      Pages 143-201

      Interest Rate Derivatives Pricing with Volatility Smile

    8. No Access

      Book Chapter

      Pages 203-219

      Volatility Investing with Variance Swaps

  4. Statistical Inference in Financial Models

    1. Front Matter

      Pages 221-221

    2. No Access

      Book Chapter

      Pages 223-251

      Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions

    3. No Access

      Book Chapter

      Pages 253-275

      Parametric Estimation of Risk Neutral Density Functions

    4. No Access

      Book Chapter

      Pages 277-305

      Nonparametric Estimation of Risk-Neutral Densities

    5. No Access

      Book Chapter

      Pages 307-333

      Value at Risk Estimation

    6. No Access

      Book Chapter

      Pages 335-369

      Volatility Estimation Based on High-Frequency Data

    7. No Access

      Book Chapter

      Pages 371-399

      Identifying Jumps in Asset Prices

    8. No Access

      Book Chapter

      Pages 401-435

      Simulation-Based Estimation Methods for Financial Time Series Models

  5. Computational Methods

    1. Front Matter

      Pages 437-437

    2. No Access

      Book Chapter

      Pages 439-467

      Filtering Methods

    3. No Access

      Book Chapter

      Pages 469-501

      Fitting High-Dimensional Copulae to Data

    4. No Access

      Book Chapter

      Pages 503-528

      Numerical Methods for Nonlinear PDEs in Finance

    5. No Access

      Book Chapter

      Pages 529-550

      Numerical Solution of Stochastic Differential Equations in Finance

    6. No Access

      Book Chapter

      Pages 551-577

      Lattice Approach and Implied Trees

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