Author: Paul Glasserman Edition: 2003 Publisher: Springer Binding: Hardcover ISBN: 0387004513 Price: You Save: 42%
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53)
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method.Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) review. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoreticalRead full reviews of Monte Carlo Methods In Financial Engineering (Stochastic Modelling And Applied Probability).
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author paul glasserman format paperback language english publication year 19 10 2010 series stochastic modelling and applied probability subject mathematics sciences subject 2 mathematics title monte carlo methods in financial engineering author paul glasserman publisher springer new york publication date oct 01 2003 pages 616 binding paperback isbn 1441918221 subject business economics finance brand new paperback all orders get full access to our online status tracking service allowing you to v
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) Reviews
The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Financial Modelling: Theory, Implementation and Practice with MATLAB Source (The Wiley Finance Series)
Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab.Financial Modelling review. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options.
The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional modelsRead full reviews of Mastering Financial Modelling: A practitioner's guide to applied corporate finance.
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Mastering Financial Modelling: A practitioner's guide to applied corporate finance: Alastair Day
(Pearson Education) A handbook on corporate finance, for the student or practitioner. Offers tools for proficiency in building Microsoft Excel models and applying corporate finance concepts. The CD-ROM contains software introduced in the text, allowing the reader to get started immediately. System requirements not listed. Softcover. From the Back Cover Financial proficiency has never been more critical to the success of your business, or to the development of your own career. This is an indispen
In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and
Review Five Star Review s from Amazon.co.uk (all five stars):"I attended one of Jonathan's courses recently and commented at the time that it was rather like the spreadsheet equivalent of going from an ordinary car to driving an F1 car! I have now read through his book and I can only say that this is a superb publication. It sets out how to do advanced spreadsheet modelling far better than anything else I have come across." "This guide consists of 163 pages of text along with a CD containing Excel-based demonstration material...It offers detailed advice on preparing financial models using Exce
The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options.
The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated.
The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk.
The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model.
Source code used for producing the results and analysing the models is provided on the author’s dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981
WINNER of a Riskbook.Financial Modelling with Jump Processes review. om Best of 2004 Book Award!
During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Lévy processes are beyond their reach.
Financial Modelling with Jump Processes shows that this is not soRead full reviews of financial modelling with jump processes book | peter tankov hb 1584884134.
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Categories: Finance->Mathematical models, Jump processes, Finance->Mathematical model. Contributors: Peter Tankov - Author. Format: Hardcover
general all our items our feedback faqs about us contact us item description financial modelling with jump processes chapman hall crc financial mathematics series ean 978 1584884132 isbn 10 1 584884134 ref gdn 1584884134 title financial modelling with jump processes chapman hall crc financial mathematics series author peter tankov publisher
For graduate students and professionals in applied mathematics and quantitative finance, this text provides an overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modeling.
WINNER of a Riskbook.com Best of 2004 Book Award!During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and L
During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Lévy processes are beyond their reach.
Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.
Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms.
This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.
Author: Bernhard Pfaff Edition: 1 Publisher: Wiley Binding: Hardcover ISBN: 0470978708 Price: You Save: 27%
Financial Risk Modelling and Portfolio Optimization with R (Statistics in Practice)
Introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book.Financial Risk Modelling and Portfolio Optimization with R review. /b>
Financial Risk Modelling and Portfolio Optimization with R:
Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field.
Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies.
Explores portfolio risk concepts and optimization with risk constraints.
Enables the reader to replicate the results in the book using R codeRead full reviews of Financial Risk Modelling and Portfolio Optimization with R by Pfaff,.
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Store Search search Title, ISBN and Author Financial Risk Modelling and Portfolio Optimization with R by Bernhard Pfaff Estimated delivery 3-12 business days Format Hardcover Condition Brand New Accompanied by a supporting website featuring examples and case studies in R, Financial Risk Modelling and Portfolio Optimization with R examines portfolio optimization from the perspective of computational finance and financial engineering. Publisher Description Introduces the latest techniques advocat
Buy Financial Risk Modelling and Portfolio Optimization with R by Bernhard Pfaff and Read this Book on Kobo's Free Apps. Discover Kobo's Vast Collection of Ebooks Today - Over 3 Million Titles, Including 2 Million Free Ones!
Introduces the latest techniques advocated for measuring financial market risk and portfolio optimisation, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book.Financial Risk Modelling and Portfolio Optimisation with R:Demonstrates techniques in modelling financial risks and applying portfolio optimisation techniques as well as recent advances in the field. Introduces stylised facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalised hyperbolic distribution, volat
Financial Risk Modelling and Portfolio Optimization with R Reviews
/b>
Financial Risk Modelling and Portfolio Optimization with R:
Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field.
Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies.
Explores portfolio risk concepts and optimization with risk constraints.
Enables the reader to replicate the results in the book using R code.
Is accompanied by a supporting website featuring examples and case studies in R.
Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
Author: Alastair Day Edition: 3 Publisher: FT Press Binding: Paperback ISBN: 0273772252 Price: You Save: 29%
Mastering Financial Modelling in Microsoft Excel 3rd edn: A Practitioner's Guide to Applied Corporate Finance (3rd Edition) (Financial Times Mastering Series)
Comprehensive tools and methods to help you build, develop and apply financial models using Microsoft Excel, enabling you to get better, more accurate results, faster.Mastering Financial Modelling in Microsoft Excel 3rd edn review.
The new edition of this bestselling title begins by explaining basic modelling techniques before moving through to more complex models. The book is divided into two parts: the first part outlines model designs and gives templates, key features and techniques. The second part of the book shows how to build corporate financial models in Excel. The accompanying CD allows you to use and adapt templates and modelsRead full reviews of Mastering Financial Modelling In Microsoft Excel 3rd Edn: A Practitioner's Guide.
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Buy Mastering Financial Modelling in Microsoft Excel 3rd edn by Alastair Day and Read this Book on Kobo's Free Apps. Discover Kobo's Vast Collection of Ebooks Today - Over 3 Million Titles, Including 2 Million Free Ones!
author alastair day format mixed media product language english publication year 30 08 2012 series financial times mastering series subject management business economics industry subject 2 finance accounting title mastering financial modelling in microsoft excel 3 rd edn a practitioner s guide to applied corporate finance author day alastair publisher ft pr publication date dec 24 2012 pages 520 binding mixed media product edition 3 rd dimensions 1 34 wx 9 53 hx 6 61 d isbn 0273772252 subject
This listing is for (Mastering Financial Modelling in Microsoft Excel: A practitioner's guide to applied corporate finance (2nd Edition)) 2nd edition pictured on the left by (Alastair Day). This edition has word-for-word the same information as ISBN: 0273772252 which is the 3rd edition pictured on the right, except for a small update and a different picture on the cover. All our books are in decent, usable condition or better and may or may not contain: highlighting, writing, cover and page wear, cds and additional material. If you are unsatisfied in any way with our product you can return it
Mastering Financial Modelling in Microsoft Excel 3rd edn Reviews
The new edition of this bestselling title begins by explaining basic modelling techniques before moving through to more complex models. The book is divided into two parts: the first part outlines model designs and gives templates, key features and techniques. The second part of the book shows how to build corporate financial models in Excel. The accompanying CD allows you to use and adapt templates and models.
This new edition includes a reworking of the book in Excel 2010 (but with older material still included), inclusion of Apple Mac, addition of specific 2010 features and end of chapter exercises.
