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Recent Developments In Computational Finance

Author: Thomas Gerstner
Publisher: World Scientific
ISBN: 9814436429
Size: 46.52 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 Besides surveys of existing results, the book contains many new previously unpublished results.

Recent Developments In Computational Finance

Author: Thomas Gerstner
Publisher: World Scientific
ISBN: 9814436445
Size: 72.72 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 Besides surveys of existing results, the book contains many new previously unpublished results.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 Advances In Applied Nonlinear Dynamics With Numerical Analysis

Author: Changpin Li
Publisher: World Scientific
ISBN: 981443647X
Size: 61.17 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. Contents:Gronwall Inequalities (Fanhai Zeng, Jianxiong Cao and Changpin Li)Existence and Uniqueness of the Solutions to the Fractional Differential Equations (Yutian Ma, Fengrong Zhang and Changpin Li)Finite Element Methods for Fractional Differential Equations (Changpin Li and Fanhai Zeng)Fractional Step Method for the Nonlinear Conservation Laws with Fractional Dissipation (Can Li and Weihua Deng)Error Analysis of Spectral Method for the Space and Time Fractional Fokker–Planck Equation (Tinggang Zhao and Haiyan Xuan)A Discontinuous Finite Element Method for a Type of Fractional Cauchy Problem (Yunying Zheng)Asymptotic Analysis of a Singularly Perturbed Parabolic Problem in a General Smooth Domain (Yu-Jiang Wu, Na Zhang and Lun-Ji Song)Incremental Unknowns Methods for the ADI and ADSI Schemes (Ai-Li Yang, Yu-Jiang Wu and Zhong-Hua Yang)Stability of a Collocated FV Scheme for the 3D Navier–Stokes Equations (Xu Li and Shu-qin Wang)Computing the Multiple Positive Solutions to p–Henon Equation on the Unit Square (Zhaoxiang Li and Zhonghua Yang)Multilevel WBIUs Methods for Reaction–Diffusion Equations (Yang Wang, Yu-Jiang Wu and Ai-Li Yang)Models and Dynamics of Deterministically Growing Networks (Weigang Sun, Jingyuan Zhang and Guanrong Chen)On Different Approaches to Synchronization of Spatiotemporal Chaos in Complex Networks (Yuan Chai and Li-Qun Chen)Chaotic Dynamical Systems on Fractals and Their Applications to Image Encryption (Ruisong Ye, Yuru Zou and Jian Lu)Planar Crystallographic Symmetric Tiling Patterns Generated From Invariant Maps (Ruisong Ye, Haiying Zhao and Yuanlin Ma)Complex Dynamics in a Simple Two-Dimensional Discrete System (Huiqing Huang and Ruisong Ye)Approximate Periodic Solutions of Damped Harmonic Oscillators with Delayed Feedback (Qian Guo)The Numerical Methods in Option Pricing Problem (Xiong Bo)Synchronization and Its Control Between Two Coupled Networks (Yongqing Wu and Minghai Lü) Readership: Senior undergraduates, postgraduates and experts in nonlinear dynamics with numerical analysis. Keywords:Fractional Dynamics;Infinite Dimensional Dynamics;Network Dynamics;Fractal DynamicsKey Features:The topics in this edited book are very hot and highly impressiveIssues and methods of such topics in this edited book have not been made available yetThe present edited book is suitable for various levels of researchers, such as senior undergraduates, postgraduates, and experts

Recent Advances In Computational Finance

Author: Nikolaos Thomaidis
Publisher: Nova Science Pub Incorporated
ISBN: 9781626181236
Size: 49.53 MB
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As it stands today, the spectrum of methods, tools, and applications that populate the area of computational finance is literally vast. Distinctively, it is this vast domain that differentiates todays financial decision makers from their counterparts of just a decade ago. Couched within this landscape are a set of increasingly complex resource utilization decisions; decisions that are, today, impacted by a surprising growth in technology that now spans a more globally diverse production and engineering environment. Collectively, firm financial managers, portfolio managers, and enterprise risk managers continue to exhort the computational finance community to formulate effective tools that more descriptively reconcile difficult problems in new product development, risk mitigation, and overall enterprise management. The computational finance community has responded to this call by offering refinements to classic computational methods while also introducing new ones. From continuous optimization to natural and evolutionary computing to time-series econometrics, this edition covers contemporary developments in computational finance. The book examines how interdisciplinary contributions from applied mathematics, statistics, and engineering can be adapted to a problem-solving approach in finance with an emphasis on vexing, but identifiable, real-world problems.

Computational Science Iccs 2001

Author: Vassil N. Alexandrov
Publisher: Springer Science & Business Media
ISBN: 3540422323
Size: 32.18 MB
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LNCS volumes 2073 and 2074 contain the proceedings of the International Conference on Computational Science, ICCS 2001, held in San Francisco, California, May 27 -31, 2001. The two volumes consist of more than 230 contributed and invited papers that reflect the aims of the conference to bring together researchers and scientists from mathematics and computer science as basic computing disciplines, researchers from various application areas who are pioneering advanced application of computational methods to sciences such as physics, chemistry, life sciences, and engineering, arts and humanitarian fields, along with software developers and vendors, to discuss problems and solutions in the area, to identify new issues, and to shape future directions for research, as well as to help industrial users apply various advanced computational techniques.

Banking Integration And Financial Crisis

Author: Iván Arribas Fernández
Publisher:
ISBN: 8492937602
Size: 50.81 MB
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La integración financiera, y del sistema bancaria en particular, han sido objeto de atención durante más de treinta años entre académicos, decisores políticos y técnicos del sector. Aunque varios factores incidan en esta tendencia ascendente, existe bastante consenso respecto a las ventajas de la integración, que son diversas y sustanciales. Sin embargo, la crisis financiera de 2007-2008 ha puesto en cuestión su expansión, dando lugar a una mayor diversidad de opiniones sobre el impacto global de una integración financiera y bancaria reforzada. En los cinco capítulos del libro se analiza de qué forma la reciente crisis financiera internacional ha contribuido a relanzar el debate sobre los posibles beneficios o riesgos de la integración financiera, considerando no solo los diferentes aspectos del tema sino las múltiples maneras de acercarse a ello. Los dos primeros capítulos analizan, para el caso español, el efecto de la expansión del mercado bancario cuando lleva parejo exposición al riesgo y desequilibrios de liquidez, así como el papel ejercido por la titulización antes de y durante las crisis. El tercer capítulo presenta nuevas medidas de integración bancaria para examinar la relación entre el grado de integración y el alcance de las crisis, mientras que los capítulos restantes emplean modelos teóricos para explicar los origines del contagio y del riesgo sistémico así como el efecto y la propagación de la caída de un banco a lo largo del sector. En el libro colaboran académicos de reconocido prestigio internacional en los campos contemplados. Estos van desde banca en general donde Santiago Carbó (Bangor Business School), Alfredo Martín (U. de las Islas Baleares), Francisco Rodríguez (U. Granada) and Emili Tortosa (U. Jaume I e Ivie) han publicado extensamente, hasta análisis de redes (sobre todo desde la perspectiva financiera), campo en el que Matteo Chinazzi y Giorgio Fagiolo (Sant’Anna School of Advanced Studies), Thomas Lux (U. Kiel, Kiel Inst. for the World Economy y U. Jaume I), Mattia Montagna (European Central Bank) e Iván Arribas (U. Valencia, ERICES e Ivie) han realizado aportaciones importantes.

Computational Methods In Decision Making Economics And Finance

Author: Erricos John Kontoghiorghes
Publisher: Springer Science & Business Media
ISBN: 1475736134
Size: 47.21 MB
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Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

The Oxford Handbook Of Computational Economics And Finance

Author: Shu-Heng Chen
Publisher: Oxford University Press
ISBN: 0190877502
Size: 30.34 MB
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The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Extraction Of Quantifiable Information From Complex Systems

Author: Stephan Dahlke
Publisher: Springer
ISBN: 3319081594
Size: 73.50 MB
Format: PDF
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In April 2007, the Deutsche Forschungsgemeinschaft (DFG) approved the Priority Program 1324 “Mathematical Methods for Extracting Quantifiable Information from Complex Systems.” This volume presents a comprehensive overview of the most important results obtained over the course of the program. Mathematical models of complex systems provide the foundation for further technological developments in science, engineering and computational finance. Motivated by the trend toward steadily increasing computer power, ever more realistic models have been developed in recent years. These models have also become increasingly complex, and their numerical treatment poses serious challenges. Recent developments in mathematics suggest that, in the long run, much more powerful numerical solution strategies could be derived if the interconnections between the different fields of research were systematically exploited at a conceptual level. Accordingly, a deeper understanding of the mathematical foundations as well as the development of new and efficient numerical algorithms were among the main goals of this Priority Program. The treatment of high-dimensional systems is clearly one of the most challenging tasks in applied mathematics today. Since the problem of high-dimensionality appears in many fields of application, the above-mentioned synergy and cross-fertilization effects were expected to make a great impact. To be truly successful, the following issues had to be kept in mind: theoretical research and practical applications had to be developed hand in hand; moreover, it has proven necessary to combine different fields of mathematics, such as numerical analysis and computational stochastics. To keep the whole program sufficiently focused, we concentrated on specific but related fields of application that share common characteristics and as such, they allowed us to use closely related approaches.

Simulation Techniques In Financial Risk Management

Author: Ngai Hang Chan
Publisher: John Wiley & Sons
ISBN: 0471789488
Size: 33.78 MB
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This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling. The authors illustrate key concepts with examples and case studies you can reproduce using either S-PLUS® or Visual Basic® and provide exercises so you can apply new concepts and test your knowledge. Simulation Techniques in Financial Risk Management is invaluable both as a resource for risk managers in the financial and actuarial industries and as a coursebook for upper-level undergraduate and graduate courses in simulation and risk management.