Handbook of Computational Finance

  • Jin-Chuan Duan
  • Wolfgang Karl Härdle
  • James E. Gentle

Part of the Springer Handbooks of Computational Statistics book series (SHCS)

Table of contents

  1. Front Matter
    Pages i-xi
  2. Introduction

    1. Front Matter
      Pages 1-1
    2. Jin-Chuan Duan, James E. Gentle, Wolfgang Karl Härdle
      Pages 3-11
  3. Asset Pricing Models

    1. Front Matter
      Pages 13-13
    2. James E. Gentle, Wolfgang Karl Härdle
      Pages 15-33
    3. Jérôme Detemple, Marcel Rindisbacher
      Pages 35-60
    4. José E. Figueroa-López
      Pages 61-88
    5. Christian M. Hafner, Hans Manner
      Pages 89-115
    6. Matthias R. Fengler
      Pages 117-142
    7. Wolfgang Karl Härdle, Elena Silyakova
      Pages 203-219
  4. Statistical Inference in Financial Models

    1. Front Matter
      Pages 221-221
    2. Maria Grith, Volker Krätschmer
      Pages 253-275
    3. Maria Grith, Wolfgang Karl Härdle, Melanie Schienle
      Pages 277-305
    4. Ying Chen, Jun Lu
      Pages 307-333
    5. Christian Pigorsch, Uta Pigorsch, Ivaylo Popov
      Pages 335-369
    6. Johan Bjursell, James E. Gentle
      Pages 371-399
  5. Computational Methods

    1. Front Matter
      Pages 437-437

About this book

Introduction

Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Keywords

Computational Finance Computational Statistics Efficient Numerics Financial Engineering Price Calibration

Editors and affiliations

  • Jin-Chuan Duan
    • 1
  • Wolfgang Karl Härdle
    • 2
  • James E. Gentle
    • 3
  1. 1., Risk Management InstituteNational University of SingaporeSingaporeSingapore
  2. 2.L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ.Humboldt-Universität zu BerlinBerlinGermany
  3. 3., Department of Computational and Data SciGeorge Mason UniversityFairfaxUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-17254-0
  • Copyright Information Springer-Verlag Berlin Heidelberg 2012
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-17253-3
  • Online ISBN 978-3-642-17254-0
  • About this book