Computational Methods in Finance Ali Hirsa Chapman & Hall/CRC, , The book is geared towards useful numerical and computational. Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing, Pierre Henry-Labordère Computational Methods in Finance, Ali Hirsa. A Hirsa, P Pender, K Danquah, S Kasera, B Lee, S Ung. Computational Methods in Finance, 1, Methods for post-trade allocation. M Heidari, A Hirsa.
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Computational Methods in Finance : Ali Hirsa :
Home Contact Us Help Free delivery worldwide. Computational Methods in Finance. Description As methofs financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods.
The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets.
It then examines many computational approaches for pricing derivatives. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.
The next part focuses on essential steps in real-world derivative pricing. The author discusses how to calibrate model parameters finamce that model prices are compatible with market prices.
Computational Methods in Finance
He also covers various filtering techniques and their implementations and gives compuhational of filtering and parameter estimation.
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.
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Other books in this series. Financial Mathematics Giuseppe Campolieti. Quantitative Finance Erik Schlogl. Computational Methods in Finance Ali Hirsa.
Stochastic Finance Jan Vecer. Nonlinear Option Pricing Julien Guyon. Option Valuation Hugo D. Stochastic Finance Nicolas Privault. Stochastic Financial Models Douglas Kennedy.
Review quote “The depth and breadth of this stand-alone textbook on computational methods in finance is astonishing. It brings together a full-spectrum of methods with many practical examples.
This book provides plenty of exercises nirsa realistic case studies. Those who work through them will gain a deep understanding of the modern computational methods in finance. This uniquely comprehensive and well-written book will undoubtedly prove invaluable to many researchers and practitioners. In addition, it seems to be an excellent teaching book.
There is also extensive material on model calibration, including interest rate models and filtering approaches. The book is a very comprehensive and useful reference for anyone, even with limited mathematical background, who wishes to quickly understand techniques from computational aki.
The content computatiobal the author’s vast experience teaching master’s level courses at Columbia and NYU, while simultaneously researching and trading on quantitative finance in leading banks and hedge funds. Book ratings by Goodreads. Goodreads is the world’s largest site for readers with over 50 million reviews.
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