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Handbook of computational and numerical methods in finance

Author: S T Rachev
Publisher: Boston : Birkhäuser, ©2004.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. Although numerical methods in finance  Read more...

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Genre/Form: Aufsatzsammlung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: S T Rachev
ISBN: 0817632190 9780817632199
OCLC Number: 54446406
Description: vi, 435 pages : illustrations ; 24 cm
Contents: Skewness and kurtosis trades / O.J. Blaskowitz, W.K. Härdle, and P. Schmidt --
Valuation of a credit spread put option : the stable Paretian model with copulas / D. D'Souza, K. Amir-Atefi, and B. Racheva-Jotova --
GARCH-type processes in modeling energy prices / I. Khindanova, Z. Atakhanova, and S. Rachev --
Malliavin calculus in finance / A. Kohatsu-Higa and M. Montero --
Bootstrap unit root tests for heavy-tailed time series / P. Kokoszka and A. Parfionovas --
Optimal portfolio selection and risk management : a comparison between the stable Paretian approach and the Gaussian one / S. Ortobelli [and others] --
Optimal quantization methods and applications to numerical problems in finance / G. Pagès, H. Pham, and J. Printems --
Numerical methods for stable modeling in financial risk management / S. Stoyanov and B. Racheva-Jotova --
Modern heuristics for finance problems : a survey of selected methods and applications / F. Schlottmann and D. Seese --
On relation between expected regret and conditional value-at-risk / C.E. Testuri and S. Uryasev --
Estimation, adjustment and application of transition matrices in credit risk models / S. Trück and E. Özturkmen --
Numerical analysis of stochastic defferential systems and its applications in finance / Z. Zheng.
Responsibility: Svetlozar T. Rachev, editor.
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"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. Read more...

 
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