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Computational methods in finance / / by Ali Hirsa
| Computational methods in finance / / by Ali Hirsa |
| Autore | Hirsa Ali |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2012 |
| Descrizione fisica | 1 online resource (440 p.) |
| Disciplina | 332.64/57015195 |
| Collana |
Chapman & Hall/CRC Financial Mathematics Series
A Chapman & Hall Book |
| Soggetto topico | Derivative securities - Prices - Mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-429-07164-7
1-4665-7604-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Computational Methods in Finance; Copyright; Dedication; Table of Contents; List of Symbols and Acronyms; List of Figures; List of Tables; Preface; Acknowledgments; Part I: Pricing and Valuation; 1. Stochastic Processes and Risk-Neutral 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 Derivatives Pricing; Part II: Calibration and Estimation; 7. Model Calibration
8. Filtering and Parameter EstimationReferences; Back Cover |
| Record Nr. | UNINA-9910460847303321 |
Hirsa Ali
|
||
| Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Computational methods in finance / / by Ali Hirsa
| Computational methods in finance / / by Ali Hirsa |
| Autore | Hirsa Ali |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2012 |
| Descrizione fisica | 1 online resource (440 p.) |
| Disciplina | 332.64/57015195 |
| Collana |
Chapman & Hall/CRC Financial Mathematics Series
A Chapman & Hall Book |
| Soggetto topico | Derivative securities - Prices - Mathematics |
| ISBN |
0-429-07164-7
1-4665-7604-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Computational Methods in Finance; Copyright; Dedication; Table of Contents; List of Symbols and Acronyms; List of Figures; List of Tables; Preface; Acknowledgments; Part I: Pricing and Valuation; 1. Stochastic Processes and Risk-Neutral 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 Derivatives Pricing; Part II: Calibration and Estimation; 7. Model Calibration
8. Filtering and Parameter EstimationReferences; Back Cover |
| Record Nr. | UNINA-9910797029003321 |
|
Hirsa Ali
|
||
| Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The mathematics of derivatives securities with applications in MATLAB / / Mario Cerrato
| The mathematics of derivatives securities with applications in MATLAB / / Mario Cerrato |
| Autore | Cerrato Mario |
| Pubbl/distr/stampa | Chichester, West Sussex, UK ; ; Hoboken, : John Wiley & Sons Inc., 2012 |
| Descrizione fisica | 1 online resource (224 p.) |
| Disciplina | 332.64/57015195 |
| Collana | The Wiley finance series |
| Soggetto topico |
Derivative securities - Statistical methods
Finance - Statistical methods Probabilities |
| ISBN |
9786613621405
9781118374405 1118374401 9781119973409 1119973406 9781118467398 1118467396 9781280591570 1280591579 9781119973430 1119973430 9781119973416 1119973414 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | An Introduction to Probability Theory -- Stochastic Processes -- Ito Calculus and Ito Integral -- The Black and Scholes Economy -- The Black and Scholes Model -- Monte Carlo Methods -- Monte Carlo Methods and American Options -- American Option Pricing: The Dual Approach -- Estimation of Greeks using Monte Carlo Methods -- Exotic Options -- Pricing and Hedging Exotic Options -- Stochastic Volatility Models -- Implied Volatility Models -- Local Volatility Models -- An Introduction to Interest Rate Modelling -- Interest Rate Modelling -- Binomial and Finite Difference Methods -- Appendix 1: An Introduction to MATLAB -- Appendix 2: Mortgage Backed Securities -- Appendix 3: Value at Risk. |
| Record Nr. | UNINA-9910270905603321 |
|
Cerrato Mario
|
||
| Chichester, West Sussex, UK ; ; Hoboken, : John Wiley & Sons Inc., 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||