Ali Hirsa

Computational Methods in Finance (eBook, ePUB)

• Format: ePub

Produktbeschreibung

Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical methods. It addresses key computational methods in finance, including transform techniques, the finite difference method, and Monte Carlo simulation. Developed from the author's courses at Columbia University and the Courant Institute of New York University, the book also covers model calibration and optimization and describes techniques, such as Kalman and particle filters, for parameter estimation.

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Produktdetails

• Verlag: Taylor & Francis
• Erscheinungstermin: 19. April 2016
• Englisch
• ISBN-13: 9781040053874
• Artikelnr.: 72335871

Autorenporträt

Ali Hirsa is head of Analytical Trading Strategy at Caspian Capital Management. Dr. Hirsa is also an adjunct professor at Columbia University and NYU's Courant Institute of Mathematical Sciences.

Inhaltsangabe

I Pricing and Valuation: Stochastic Processes and Risk-Neutral Pricing.
Derivatives Pricing via Transform Techniques. Introduction to Finite
Differences. Derivative Pricing via Numerical Solutions of PDEs. Derivative
Pricing via Numerical Solutions of PIDEs. Simulation Methods for
Derivatives Pricing. II Calibration and Estimation: Model Calibration.
Filtering and Parameter Estimation. References. Index.