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Mark (Hrsg.) Cummins

Topics in Numerical Methods for Finance

Ebook (PDF Format)

Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces,… Mehr

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Produktdetails


Weitere Autoren: Murphy, Finbarr (Hrsg.) / Miller, John J. H. (Hrsg.)
  • ISBN: 978-1-4614-3433-7
  • EAN: 9781461434337
  • Produktnummer: 18259279
  • Verlag: Springer-Verlag GmbH
  • Sprache: Englisch
  • Erscheinungsjahr: 2012
  • Seitenangabe: 204 S.
  • Plattform: PDF
  • Masse: 5'244 KB
  • Auflage: 2012
  • Abbildungen: Bibliographie
  • Reihenbandnummer: 19

Über den Autor


Mark Cummins is a Lecturer in Finance at the Dublin City University Business School. He holds a PhD in Quantitative Finance, with specialism in the application of integral transforms and the fast Fourier transform (FFT) for derivatives valuation and risk management. Mark has previous industry experience working as a Quantitative Analyst within the Global Risk function for BP Oil International Ltd., London. Mark has a keen interest in a broad range of energy modelling, derivatives, risk management and trading topics. He also has a growing interest in the area of sustainable energy finance, with particular focus on the carbon markets. Linked to Mark's industry experience, he holds a further interest in the area of model risk and model validation. Finbarr Murphy is a Lecturer in Quantitative Finance at the University of Limerick, Ireland. Finbarr's key teaching and research interests lie in the field of credit risk and derivatives and more recently, in carbon finance. His research is focused on the application of generalised Lévy Processes and their application in the pricing and risk management of derivative products. Finbarr is also interested in the application of econometric techniques in finance. Prior to taking up his position in UL, Finbarr was a Vice President of Convertible Bond Trading with Merrill Lynch London.John J.H. Miller is Director of INCA, the Institute for Numerical Computation and Analysis, in Dublin, Ireland. He is also a Fellow Emeritus of Trinity College, Dublin, where he was a member of the Mathematics Department. He received his Sc.D. from the University of Dublin and his Ph.D. in numerical analysis from the Massachusetts Institute of Technology. He completed his undergraduate degrees at Trinity College Dublin. 

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