Handbook of Numerical Methods in Finance [Hardcover]

Svetlozar T. Rachev (Author), George A. Anastassiou (Author), S.T. Rachev (Author), Birkhauser (Author)

Book Description

ISBN-10: 0817632190 | ISBN-13: 978-0817632199 | Publication Date: June 29, 2004 | Edition: 1

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Editorial Reviews

Review

"The title of this book my be somewhat misleading-- as an edited volume, it contains several papers on some issues in quantitative finance.  Most contributions have a computational/numerical slant.  It is no surprise that several papers concentrate on heavy-tailed models, in particular Pareto-type models figure prominently. For me, the highlight is the paper by Kohatsu-Higa and Montero on "Malliavan Calculus in Finance". This seventy plus page paper gives a very readable introduction to this imporatnt field of current research.  A further enjoyable paper is "Modern Heuirstics for Finance Problems: A Survey of Selected Mehtods and Applications: by Schlottmann and Seese." ---Publication of the International Statistical Institute

From the Back Cover

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. Key topics covered include: methodological issues, i.e., genetic algorithms, neural networks, Monte–Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors. Contributors: K. Amir-Atefi; Z. Atakhanova; A. Biglova; O.J. Blaskowitz; D. D’Souza; W.K. Härdle; I. Huber; I. Khindanova; A. Kohatsu-Higa; P. Kokoszka; M. Montero; S. Ortobelli; E. Özturkmen; G. Pagès; A. Parfionovas; H. Pham; J. Printems; S. Rachev; B. Racheva-Jotova; F. Schlottmann; P. Schmidt; D. Seese; S. Stoyanov; C.E. Testuri; S. Trück; S. Uryasev; and Z. Zheng.

Product Details

• Hardcover: 400 pages
• Publisher: Birkhäuser Boston; 1 edition (June 29, 2004)
• Language: English
• ISBN-10: 0817632190
• ISBN-13: 978-0817632199
• Product Dimensions: 9.1 x 6.2 x 1.1 inches
• Shipping Weight: 1.7 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #509,281 in Books (See Top 100 in Books)