Readership: Advanced level students, researchers and practitioners wanting to learn more about computational methods in finance. The book. Download Citation on ResearchGate | On Dec 1, , Lasse Koskinen and others published Computational Methods in Finance by Ali Hirsa }. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through.
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Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets.
It then examines many computational approaches for pricing derivatives. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.
The next part focuses on essential steps in real-world derivative cojputational.
The author discusses how to calibrate model parameters so that model prices are compatible with market methocs. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation. It will help readers accurately price a vast array of derivatives.
The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc. If one understands theories presented in the book and puts these theories into coomputational by writing computer programs to solve problems at the end of each chapter, one is well prepared for a career in quantitative finance.
The book is well-written and easy to follow.
The author usually breaks down a complex problem into steps with clear mathematical derivations. The author analyzes and breaks down the problem into sections with clear derivations for each section. As a result, most people with decent math background can understand these derivations and can write a computer program solving PIDE to get price of an American option.
Computational Methods In Finance by Hirsa, Ali
Account Meethods Sign in. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional My library Help Advanced Book Search. Computational Methods in Finance. User Review – Flag as inappropriate The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc.
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