Binder / Aichinger A Workout in Computational Finance

1. Auflage 2013
ISBN: 978-1-119-97349-2
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 336 Seiten, E-Book

Reihe: Wiley Finance

A comprehensive introduction to various numerical methods usedin computational finance today
Quantitative skills are a prerequisite for anyone working infinance or beginning a career in the field, as well as riskmanagers. A thorough grounding in numerical methods is necessary,as is the ability to assess their quality, advantages, andlimitations. This book offers a thorough introduction to eachmethod, revealing the numerical traps that practitioners frequentlyfall into. Each method is referenced with practical, real-worldexamples in the areas of valuation, risk analysis, and calibrationof specific financial instruments and models. It features a strongemphasis on robust schemes for the numerical treatment of problemswithin computational finance. Methods covered include PDE/PIDEusing finite differences or finite elements, fast and stablesolvers for sparse grid systems, stabilization and regularizationtechniques for inverse problems resulting from the calibration offinancial models to market data, Monte Carlo and Quasi Monte Carlotechniques for simulating high dimensional systems, and local andglobal optimization tools to solve the minimization problem.

Autoren/Hrsg.

Binder, Andreas

Aichinger, Michael

Über Autor(innen)

MICHAEL AICHINGER obtained his Ph.D. in Theoretical Physics from the Johannes Kepler University Linz with a thesis on numerical methods in density functional theory and their application to 2D finite electron systems. A mobility grant led him to the Texas A&M University (2003) and to the Helsinki University of Technology (2004). In 2007 Michael Aichinger joined the Industrial Mathematics Competence Center where he has been working as a senior researcher and consultant in the field of quantitative finance for the last five years. He also works for the Austrian Academy of Sciences at the Radon Institute for Computational and Applied Mathematics where he is involved in several industrial mathematics and computational physics projects. Michael has (co-) authored around 20 journal articles in the fields of computational physics and quantitative finance.
ANDREAS BINDER obtained his Ph.D. in Industrial Mathematics from the Johannes Kepler University Linz with a thesis on continuous casting of steel. A research grant led him to the Oxford Center for Industrial and Applied Mathematics, UK, in 1991, where he got in touch with mathematical finance for the first time. After some years being an assistant professor at the Industrial Mathematics Institute, in 1996, he left university and became managing director of MathConsult GmbH, where he heads also the Computational Finance Group. Andreas has authored two introductory books on mathematical finance and 25 journal articles in the fields of industrial mathematics and of mathematical finance.