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Computational finance : a scientific perspective

Author: Cornelis Albertus Los
Publisher: Singapore ; River Edge, N.J. : World Scientific Pub., ©2001.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"Computational finance deals with the mathematics of computer programs that realize financial models or systems. This book outlines the epistemic risks associated with the current valuations of different financial instruments and discusses the corresponding risk management strategies. It covers most of the research and practical areas in computational finance. Starting from traditional fundamental analysis and using  Read more...
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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Cornelis Albertus Los
ISBN: 9810244967 9789810244965 9810244975 9789810244972
OCLC Number: 45804747
Description: 336 pages : illustrations ; 23 cm
Contents: History --
Outline and Readers Guide --
A Scientific Perspective --
Financial Modeling and Computers --
Epistemic Uncertainty: Exact and Inexact Models --
Exact Models, e.g., Financial Statements --
Inexact Models, e.g., Behavioral Relationships --
Identification, Simulation and Extrapolation --
Pro Forma Financial Statement Projections --
Envisioning Information: Unique Mappings --
Capital Budgeting and Analytic Formulas --
Present and Future Value Calculations --
Continuous and Discrete Compounding --
Expansions and Euler Formulas --
Imaginary and Conjugate Complex Numbers and the Euler Relations --
Fourier and Wavelet Analysis --
Fourier Series --
Fourier Transform --
Wavelet Transform --
Multiresolution Analysis --
Fundamental Security Valuation --
Valuation of Bonds --
Yield Curve and Term Structure Analysis --
Custom-fitting of Bond Maturities --
Computing Forward Interest Rates --
Risk-Based Credit Ratings --
Valuation of Stocks by Dividend Discount Models --
Cash Flow and Ratio Analysis --
Analysis of Exact Data I --
First Two Moments --
Expected Value and Variance --
Covariance Matrix and Correlations --
Iso-Information Ellipsoids --
Iso-Information Ellipsoids and Projections --
Linear Loci of Certainty --
Bivariate Least Squares Projections --
Envisoning Bivariate Modeling Uncertainty --
Analysis of Inexact Data II --
Complete Least Squares Projections --
Two Important System Identification Theorems --
Noise and Signal Projections --
Noise/Data Ratios in Two-Dimensional Data --
Hypotheses Non Fingo.
Responsibility: Cornelis A. Los.

Abstract:

This text outlines the epistemic risks associated with the current valuations of different financial instruments and discusses the corresponding risk management strategies. It covers most of the  Read more...

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