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Recent Developments In Computational Finance

Author: Thomas Gerstner
Publisher: World Scientific
ISBN: 9814436445
Size: 23.49 MB
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Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results. Contents:Foundations:Multilevel Monte Carlo Methods for Applications in Finance (Mike Giles and Lukasz Szpruch)Convergence of Numerical Methods for SDEs in Finance (Peter Kloeden and Andreas Neuenkirch)Inverse Problems in Finance (J Baumeister)Asymptotic and Non Asymptotic Approximations for Option Valuation (R Bompis and E Gobet)Algorithms:Discretization of Backward Stochastic Volterra Integral Equations (Christian Bender and Stanislav Pokalyuk)Semi-Lagrangian Schemes for Parabolic Equations (Kristian Debrabant and Espen Robstad Jakobsen)Derivative-Free Weak Approximation Methods for Stochastic Differential Equations (Kristian Debrabant and Andreas Röβler)Wavelet Solution of Degenerate Kolmogoroff Forward Equations (Oleg Reichmann and Christoph Schwab)Randomized Multilevel Quasi-Monte Carlo Path Simulation (Thomas Gerstner and Marco Noll)Applications:Drift-Free Simulation Methods for Pricing Cross-Market Derivatives with LMM (J L Fernández, M R Nogueiras, M Pou and C Vázquez)Application of Simplest Random Walk Algorithms for Pricing Barrier Options (M Krivko and M V Tretyakov)Coupling Local Currency Libor Models to FX Libor Models (John Schoenmakers)Dimension-Wise Decompositions and Their Efficient Parallelization (Philipp Schröder, Peter Mlynczak and Gabriel Wittum) Readership: Graduate students and researchers in finance, engineering and operations research. Keywords:Monte Carlo Simulation;Stochastic Numerics;Scientific Computing

Recent Developments In Computational Finance

Author: Thomas Gerstner
Publisher: World Scientific
ISBN: 9814436429
Size: 33.37 MB
Format: PDF
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Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Recent Advances In Applied Nonlinear Dynamics With Numerical Analysis

Author: Changpin Li
Publisher: World Scientific
ISBN: 9814436461
Size: 31.27 MB
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Nonlinear dynamics is still a hot and challenging topic. In this edited book, we focus on fractional dynamics, infinite dimensional dynamics defined by the partial differential equation, network dynamics, fractal dynamics, and their numerical analysis and simulation.Fractional dynamics is a new topic in the research field of nonlinear dynamics which has attracted increasing interest due to its potential applications in the real world, such as modeling memory processes and materials. In this part, basic theory for fractional differential equations and numerical simulations for these equations will be introduced and discussed.In the infinite dimensional dynamics part, we emphasize on numerical calculation and theoretical analysis, including constructing various numerical methods and computing the corresponding limit sets, etc.In the last part, we show interest in network dynamics and fractal dynamics together with numerical simulations as well as their applications.

Modeling Applications And Theoretical Innovations In Interdisciplinary Evolutionary Computation

Author: Samuelson Hong, Wei-Chiang
Publisher: IGI Global
ISBN: 1466636297
Size: 70.49 MB
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Evolutionary computation has emerged as a major topic in the scientific community as many of its techniques have successfully been applied to solve problems in a wide variety of fields. Modeling Applications and Theoretical Innovations in Interdisciplinary Evolutionary Computation provides comprehensive research on emerging theories and its aspects on intelligent computation. Particularly focusing on breaking trends in evolutionary computing, algorithms, and programming, this publication serves to support professionals, government employees, policy and decision makers, as well as students in this scientific field.

Applied Mathematics And Computational Intelligence

Author: Anna M. Gil-Lafuente
Publisher: Springer
ISBN: 331975792X
Size: 57.27 MB
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This book gathers selected papers presented at the conference of the Forum for Interdisciplinary Mathematics (FIM), held at Palau Macaya, Barcelona, on 18 to 20 November, 2015. The event was co-organized by the University of Barcelona (Spain), the Spanish Royal Academy of Economic and Financial Sciences (Spain) and the Forum for Interdisciplinary Mathematics (India). This instalment of the conference was presented with the title “Applied Mathematics and Computational Intelligence” and particularly focused on the use of Mathematics and Computational Intelligence techniques in a diverse range of scientific disciplines, as well as their applications in real-world problems. The book presents thirty peer-reviewed research papers, organised into four topical sections: on Mathematical Foundations; Computational Intelligence and Optimization Techniques; Modelling and Simulation Techniques; and Applications in Business and Engineering. This book will be of great interest to anyone working in the area of applied mathematics and computational intelligence and will be especially useful for scientists and graduate students pursuing research in these fields.

The Mathematical Sciences In 2025

Author: Committee on the Mathematical Sciences in 2025
Publisher: National Academies Press
ISBN: 0309284570
Size: 58.62 MB
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The mathematical sciences are part of nearly all aspects of everyday life--the discipline has underpinned such beneficial modern capabilities as Internet search, medical imaging, computer animation, numerical weather predictions, and all types of digital communications. The Mathematical Sciences in 2025 examines the current state of the mathematical sciences and explores the changes needed for the discipline to be in a strong position and able to maximize its contribution to the nation in 2025. It finds the vitality of the discipline excellent and that it contributes in expanding ways to most areas of science and engineering, as well as to the nation as a whole, and recommends that training for future generations of mathematical scientists should be re-assessed in light of the increasingly cross-disciplinary nature of the mathematical sciences. In addition, because of the valuable interplay between ideas and people from all parts of the mathematical sciences, the report emphasizes that universities and the government need to continue to invest in the full spectrum of the mathematical sciences in order for the whole enterprise to continue to flourish long-term.

Computation And Control Ii

Author: Kenneth L. Bowers
Publisher: Springer Science & Business Media
ISBN: 1461204275
Size: 35.52 MB
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This volume contains a collection of papers delivered by the partici pants at the second Conference on Computation and Control held at Mon tana State University in Bozeman, Montana from August 1-7, 1990. The conference, as well as this proceedings, attests to the vitality and cohesion between the control theorist and the numerical analyst that was adver tised by the first Conference on Computation and Control in 1988. The proceedings of that initial conference was published by Birkhiiuser Boston as the first volume of this same series entitled Computation and Control, Proceedings of the Bozeman Conference, Bozeman, Montana, 1988. Control theory and numerical analysis are both, by their very nature, interdisciplinary subjects as evidenced by their interaction with other fields of mathematics and engineering. While it is clear that new control or es timation algorithms and new feedback design methodologies will need to be implemented computationally, it is likewise clear that new problems in computational mathematics arise when implementing a new generation of control algorithms. For these reasons, computational mathematics is mov ing to the forefront in recent developments in modern control theory and conversely control theory and its applications continue to be a fertile area for computationalists. This volume contains a representative cross section of the interdisciplinary blend of analytic and numerical techniques that of ten occur between advanced control design and practical numerical solution of lumped and distributed parameter systems.

Kernel Based Approximation Methods Using Matlab

Author: Gregory Fasshauer
Publisher: World Scientific Publishing Company
ISBN: 9814630152
Size: 50.64 MB
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In an attempt to introduce application scientists and graduate students to the exciting topic of positive definite kernels and radial basis functions, this book presents modern theoretical results on kernel-based approximation methods and demonstrates their implementation in various settings. The authors explore the historical context of this fascinating topic and explain recent advances as strategies to address long-standing problems. Examples are drawn from fields as diverse as function approximation, spatial statistics, boundary value problems, machine learning, surrogate modeling and finance. Researchers from those and other fields can recreate the results within using the documented MATLAB code, also available through the online library. This combination of a strong theoretical foundation and accessible experimentation empowers readers to use positive definite kernels on their own problems of interest.

Handbook Of High Frequency Trading And Modeling In Finance

Author: Maria C. Mariani
Publisher: John Wiley & Sons
ISBN: 1118443985
Size: 24.76 MB
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Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.