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Handbook of Computational and Numerical Methods in Finance

  • Svetlozar T. Rachev

Table of contents

  1. Front Matter
    Pages i-ix
  2. Oliver J. Blaskowitz, Wolfgang K. Härdle, Peter Schmidt
    Pages 1-14
  3. Dylan D’Souza, Key van Amir-Atefi, Borjana Racheva-Jotova
    Pages 15-69
  4. Irina Khindanova, Zauresh Atakhanova, Svetlozar Rachev
    Pages 71-110
  5. Arturo Kohatsu-Higa, Miquel Montero
    Pages 111-174
  6. Piotr Kokoszka, Andrejus Parfionovas
    Pages 175-195
  7. Sergio Ortobelli, Svetlozar Rachev, Isabella Huber, Almira Biglova
    Pages 197-252
  8. Gilles Pagès, Huyên Pham, Jacques Printems
    Pages 253-297
  9. Stoyan Stoyanov, Borjana Racheva-Jotova
    Pages 299-329
  10. Carlos E. Testuri, Stanislav Uryasev
    Pages 361-372
  11. Back Matter
    Pages 431-435

About this book

Introduction

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance.

Key topics covered include: methodological issues, i.e., genetic algorithms, neural networks, Monte–Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors.

Contributors: K. Amir-Atefi; Z. Atakhanova; A. Biglova; O.J. Blaskowitz; D. D’Souza; W.K. Härdle; I. Huber; I. Khindanova; A. Kohatsu-Higa; P. Kokoszka; M. Montero; S. Ortobelli; E. Özturkmen; G. Pagès; A. Parfionovas; H. Pham; J. Printems; S. Rachev; B. Racheva-Jotova; F. Schlottmann; P. Schmidt; D. Seese; S. Stoyanov; C.E. Testuri; S. Trück; S. Uryasev; and Z. Zheng.

Keywords

Probability theory algorithms calculus ksa numerical analysis optimization

Editors and affiliations

  • Svetlozar T. Rachev
    • 1
    • 2
  1. 1.Department of Statistics and Applied ProbabilityUniversity of CaliforniaSanta BarbaraUSA
  2. 2.Department of Economics and Business EngineeringUniversität KarlsruheKarlsruheGermany

Bibliographic information