LEADER 04124nam 2200949z- 450 001 9910557767003321 005 20231214132925.0 035 $a(CKB)5400000000045691 035 $a(oapen)https://directory.doabooks.org/handle/20.500.12854/69118 035 $a(EXLCZ)995400000000045691 100 $a20202105d2020 |y 0 101 0 $aeng 135 $aurmn|---annan 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aComputational Finance 210 $aBasel, Switzerland$cMDPI - Multidisciplinary Digital Publishing Institute$d2020 215 $a1 electronic resource (259 p.) 311 $a3-03936-966-0 311 $a3-03936-967-9 330 $aWith 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. 606 $aEconomics, finance, business & management$2bicssc 610 $ainsurance 610 $aSolvency II 610 $arisk-neutral models 610 $acomputational finance 610 $aasset pricing models 610 $aovernight price gaps 610 $afinancial econometrics 610 $amean-reversion 610 $astatistical arbitrage 610 $ahigh-frequency data 610 $ajump-diffusion model 610 $ainstantaneous volatility 610 $adirectional-change 610 $aseasonality 610 $aforex 610 $abitcoin 610 $aS& 610 $aP500 610 $arisk management 610 $adrawdown 610 $asafe assets 610 $asecuritisation 610 $adealer behaviour 610 $aliquidity 610 $abid?ask spread 610 $aleast-squares Monte Carlo 610 $aput-call symmetry 610 $aregression 610 $asimulation 610 $aalgorithmic trading 610 $amarket quality 610 $adefined contribution plan 610 $aprobability of shortfall 610 $aquadratic shortfall 610 $adynamic asset allocation 610 $aresampled backtests 610 $astochastic covariance 610 $a4/2 model 610 $aoption pricing 610 $arisk measures 610 $aAmerican options 610 $aexercise boundary 610 $aMonte Carlo 610 $amultiple exercise options 610 $adynamic programming 610 $astochastic optimal control 610 $aasset pricing 610 $acalibration 610 $aderivatives 610 $ahedging 610 $amultivariate models 610 $avolatility 615 7$aEconomics, finance, business & management 700 $aStentoft$b Lars$4edt$01324157 702 $aStentoft$b Lars$4oth 906 $aBOOK 912 $a9910557767003321 996 $aComputational Finance$93035966 997 $aUNINA