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lgli/Hirsa - Computational Methods in Finance.pdf
Computational Methods in Finance 🔍
Ali Hirsa Chapman and Hall/CRC, Chapman and Hall/CRC Financial Mathematics Series, 2, 2024
English [en] · PDF · 27.9MB · 2024 · 📘 Book (non-fiction) · 🚀/lgli/lgrs · Save
description
Computational Methods in Finance is a book developed from the author’s courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning.
Alternative filename
lgrsnf/Hirsa - Computational Methods in Finance.pdf
Alternative publisher
Chapman & Hall, CRC Press
Alternative publisher
Taylor & Francis Group
Alternative publisher
Taylor & Francis Ltd
Alternative publisher
Unknown Publisher
Alternative publisher
CRC Press LLC
Alternative edition
United Kingdom and Ireland, United Kingdom
Alternative edition
United States, United States of America
Alternative edition
CRC Press LLC, Boca Raton, 2024
Alternative edition
Second edition, Boca Raton, FL
Alternative description
Contents
List of Figures
List of Tables
Part I: Pricing and Valuation (Traditional)
1 Stochastic Processes and Pricing
2 Derivatives Pricing via Transform Techniques
3 Introduction to Finite Differences
4 Derivative Pricing via Numerical Solutions of PDEs
5 Derivative Pricing via Numerical Solutions of PIDEs
6 Simulation Methods for Pricing and valuation
Part II: Pricing and Valuation (ML/DL–based)
7 Supervised Deep Neural Networks for Pricing
8 An Unsupervised Deep Learning Approach to Solving Partial Integro-Differential Equations
Part III: Model Calibration and Parameter Estimation
9 Model Calibration
10 Filtering and Parameter Estimation
Part IV: Appendices
A Interest Rate Definitions
B Arbitrage Restrictions on Option Premiums
C Derivative Approximation by Finite Differences in Higher Dimensional Case
D Derivation of Characteristic Function
E Evaluation of the PIDE
F Optimization and Optimization Methodology
Bibliography
Index
Alternative description
Computational Methods in Finance is a book developed from the author's courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives.This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning.Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.
date open sourced
2024-08-28
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