04124nam 2200949z- 450 991055776700332120231214132925.0(CKB)5400000000045691(oapen)https://directory.doabooks.org/handle/20.500.12854/69118(EXLCZ)99540000000004569120202105d2020 |y 0engurmn|---annantxtrdacontentcrdamediacrrdacarrierComputational FinanceBasel, SwitzerlandMDPI - Multidisciplinary Digital Publishing Institute20201 electronic resource (259 p.)3-03936-966-0 3-03936-967-9 With the availability of new and more comprehensive financial market data, making headlines of massive public interest due to recent periods of extreme volatility and crashes, the field of computational finance is evolving ever faster thanks to significant advances made theoretically, and to the massive increase in accessible computational resources. This volume includes a wide variety of theoretical and empirical contributions that address a range of issues and topics related to computational finance. It collects contributions on the use of new and innovative techniques for modeling financial asset returns and volatility, on the use of novel computational methods for pricing, hedging, the risk management of financial instruments, and on the use of new high-dimensional or high-frequency data in multivariate applications in today’s complex world. The papers develop new multivariate models for financial returns and novel techniques for pricing derivatives in such flexible models, examine how pricing and hedging techniques can be used to assess the challenges faced by insurance companies, pension plan participants, and market participants in general, by changing the regulatory requirements. Additionally, they consider the issues related to high-frequency trading and statistical arbitrage in particular, and explore the use of such data to asses risk and volatility in financial markets.Economics, finance, business & managementbicsscinsuranceSolvency IIrisk-neutral modelscomputational financeasset pricing modelsovernight price gapsfinancial econometricsmean-reversionstatistical arbitragehigh-frequency datajump-diffusion modelinstantaneous volatilitydirectional-changeseasonalityforexbitcoinS&ampP500risk managementdrawdownsafe assetssecuritisationdealer behaviourliquiditybid–ask spreadleast-squares Monte Carloput-call symmetryregressionsimulationalgorithmic tradingmarket qualitydefined contribution planprobability of shortfallquadratic shortfalldynamic asset allocationresampled backtestsstochastic covariance4/2 modeloption pricingrisk measuresAmerican optionsexercise boundaryMonte Carlomultiple exercise optionsdynamic programmingstochastic optimal controlasset pricingcalibrationderivativeshedgingmultivariate modelsvolatilityEconomics, finance, business & managementStentoft Larsedt1324157Stentoft LarsothBOOK9910557767003321Computational Finance3035966UNINA