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Catalogue Information
Field name
Details
Dewey Class
330.015195
Title
Handbook of Computational Finance ([Ebook]) / edited by Jin-Chuan Duan, Wolfgang Karl Härdle, James E. Gentle.
Author
Duan, Jin-Chuan
Added Personal Name
Härdle, Wolfgang Karl. , 1953-
Gentle, James E.
Other name(s)
SpringerLink (Online service)
Publication
Berlin, Heidelberg : Springer
, 2012.
Physical Details
XI, 804 pages : 189 illus., 7 illus. in color. : online resource.
Series
Springer Handbooks of Computational Statistics
ISBN
9783642172540
Summary Note
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a âfairâ value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.:
Contents note
Introduction -- Pricing Models -- Statistical Inference in Financial Models -- Computational Methods -- Software Tools -- Possible further Topics: Realized Volatility/High Frequency Data.-Microstructure Empirical Analysis -- Option Pricing -- GARCH and Diffusion Jump Limits -- Interest Rate Derivatives.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site
http://dx.doi.org/10.1007/978-3-642-17254-0
Links to Related Works
Subject References:
Computational Mathematics and Numerical Analysis
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Computer Science
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Economics
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Finance/Investment/Banking
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Statistics
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Statistics for Business/Economics/Mathematical Finance/Insurance
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Authors:
Duan, Jin-Chuan
.
editor
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Gentle, James E.
.
Härdle, Wolfgang Karl. 1953-
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Corporate Authors:
SpringerLink (Online service)
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Series:
Springer Handbooks of Computational Statistics
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Classification:
330.015195
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