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Preface vii
List of Contributors ix
About the Editors xiii
Sponsors xv
Coherent Measures of Risk into Everyday Market Practice Carlo Acerbi 1
Pricing High-Dimensional American Options Using Local Consistency Conditions S.J. Berridge J.M. Schumacher 13
Adverse Interrisk Diversification Effects for FX Forwards Thomas Breuer Martin Jandacka 53
Counterparty Risk Pricing under Correlation between Default and Interest Rates Damiano Brigo Andrea Pallavicini 63
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans Andrew J.G. Cairns David Blake Kevin Dowd 83
On LIigh-Performance Software Development for the Numerical Simulation of Life Insurance Policies S. Corsaro P.L. De Angelis Z. Marino F. Perla 87
An Efficient Numerical Method for Pricing Interest Rate Swaptions Mark Cummins Bernard Murphy 113
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices Vladimir Dobias 149
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach DavidC. Edelman Francesco Sandrini 173
Pricing Credit from the Top Down with Affine Point Processes Eymen Errais Kay Giesecke Lisa R. Goldberg 195
Valuation of Performance-Dependent Options in a Black-Scholes Framework Thomas Gerstner Markus Holtz Ralf Korn 203
Variance Reduction through Multilevel Monte Carlo Path Calculations Michael B. Giles 215
Value at Risk and Self-Similarity Olaf Menkens 225
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model Conall O'Sullivan 255
Eddie for Discovering Arbitrage Opportunities Edward Tsang Sheri Markose Alma Garcia Hakan Er 281
Index 285
| Price | Condition | Delivery | Seller | Action |
| $106.99 | Digital |
| WonderClub |
Alessandro De Luca
reviewed Numerical Methods for Finance on August 22, 2011
Numerical Methods for Finance
I have a bachelor degree in International Studies and almost have a masters degree in International Economics, both entailed subjects about statistical analysis, yet here was I still unable to do a simple research. As I felt ashamed by my ignorance I decided to pick up this book at the publisher's sale for a great price. Best decision I made in a long time.
If you meticulously go through the book you will understand the relationship between two variables (correlation) and more than two variables (regression). The book mainly concerns these two models and their intricacies, with an emphasis on regression and time-series data. The main catch the author offers is that you don't need deep mathematical knowledge to either do or understand these kinds of operations, it can be understood logically or by common sense. He mostly delivers on this promise (sometimes the lack of maths make some explanations confusing, but this is the price to pay) so anyone can pick this up and understand it.
The explanations are clear, the exercises are on par with your understanding and help to prove the underlying concepts. The whole arch of the book is so that you gradually, without even noticing, start doing much more lifelike and interesting problems, building on the previously learnt knowledge.
If you ever need to do some research with data and don't know how this book is a great help and you don't need to stress yourself with the difficult math that makes it all work if you don't want to (although the author admits that in order to achieve full understanding, and some difficult problems will require you to pick up more comprehensive books).
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Add Numerical Methods for Finance, Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical met, Numerical Methods for Finance to the inventory that you are selling on WonderClubX
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Add Numerical Methods for Finance, Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical met, Numerical Methods for Finance to your collection on WonderClub |