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
    2. Andras Fulop
      Pages 439-467
    3. Ostap Okhrin
      Pages 469-501
    4. Peter A. Forsyth, Kenneth R. Vetzal
      Pages 503-528
    5. Rüdiger U. Seydel
      Pages 551-577
    6. Yue Kuen Kwok, Kwai Sun Leung, Hoi Ying Wong
      Pages 579-604
    7. Shih-Feng Huang, Meihui Guo
      Pages 605-631
    8. Michèle Breton, Javier de Frutos
      Pages 633-649
    9. Ludger Overbeck
      Pages 651-673
    10. Jérôme Detemple, Marcel Rindisbacher
      Pages 675-702
    11. Harald Niederreiter
      Pages 703-729
  6. Software Tools

    1. Front Matter
      Pages 763-763
    2. James E. Gentle, Angel Martinez
      Pages 765-780
    3. John P. Nolan
      Pages 781-804

About this book


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.


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