Numerical Methods for Finance (Robert Nurnberg)

 
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Numerical Methods for Finance (Robert Nurnberg)

Numerical Methods for Finance examines fresh and pertinent numerical techniques for resolving real-world financial issues. It has international authors from business and academia. It is one of the rare books that is totally devoted to the use of numerical methods in the financial industry.

The book initially explores the coherent risk measures theory and how it relates to actual risk management before presenting state-of-the-art techniques in this field. A new approach to pricing high-dimensional American options is then suggested, and the detrimental impacts of inter-risk diversification between credit and market risk are then discussed. The paper examines techniques and problems pertaining to defined contribution pension plans and participation life insurance contracts after assessing counterparty risk for interest rate payoffs.

Additionally, it creates a computationally fast method for pricing swaptions, extracts the implied price distribution for the underlying asset from option prices, and suggests a hybrid GARCH model in addition to a fresh framework for affine point processes. The book also discusses put-call-futures parity arbitrage opportunities, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and performance-dependent options.

Ebook Details

About the Authors
A lecturer in numerical analysis at Imperial College, London, is Dr. Robert Nurnberg. His primary research areas include numerical analysis, (Nonlinear) partial differential equations, finite element approximations, geometric evolution equations, and scientific computing.
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