Financial Engineering And Computation

Author: Yuh-Dauh Lyuu
Publisher: Cambridge University Press
ISBN: 9780521781718
Size: 29.48 MB
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A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Financial Engineering And Computation

Author: Yuh-Dauh Lyuu
Publisher: Cambridge University Press
ISBN: 1139431900
Size: 20.49 MB
Format: PDF, ePub
View: 1232
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Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.

Author: 吕育道
Publisher:
ISBN: 9787040239805
Size: 59.49 MB
Format: PDF, Mobi
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本书从金融的基本想法开始,逐步建立理论,提供了很多定价、风险评估以及项目组合管理的算法和理论,重点论述了有关金融产品和衍生证券、期权、期货、远期、利率衍生产品、抵押证券等的定价问题。

A Primer For Financial Engineering

Author: Ali N. Akansu
Publisher: Academic Press
ISBN: 0128017503
Size: 48.94 MB
Format: PDF, Docs
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This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Please visit the companion website on http://booksite.elsevier.com/9780128015612/ Provides engineering perspective to financial problems In depth coverage of market microstructure Detailed explanation of High Frequency Trading and 2010 Flash Crash Explores risk analysis and management Covers high performance DSP & financial computing

Java Methods For Financial Engineering

Author: Philip Barker
Publisher: Springer Science & Business Media
ISBN: 1846287413
Size: 47.26 MB
Format: PDF, ePub, Mobi
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This book describes the principles of model building in financial engineering. It explains those models as designs and working implementations for Java-based applications. The book provides software professionals with an accessible source of numerical methods or ready-to-use code for use in business applications. It is the first book to cover the topic of Java implementations for finance/investment applications and is written specifically to be accessible to software practitioners without prior accountancy/finance training. The book develops a series of packaged classes explained and designed to allow the financial engineer complete flexibility.

Elementary Calculus Of Financial Mathematics

Author: A. J. Roberts
Publisher: SIAM
ISBN: 9780898718225
Size: 59.26 MB
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Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.

Monte Carlo Methods In Financial Engineering

Author: Paul Glasserman
Publisher: Springer Science & Business Media
ISBN: 0387216170
Size: 11.35 MB
Format: PDF, Mobi
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From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. 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

Machine Learning For Financial Engineering

Author: László Györfi
Publisher: World Scientific
ISBN: 1848168136
Size: 75.25 MB
Format: PDF
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Preface v 1 On the History of the Growth-Optimal Portfolio M. M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249

Introduction To C For Financial Engineers

Author: Daniel J. Duffy
Publisher: John Wiley & Sons
ISBN: 1118856465
Size: 11.93 MB
Format: PDF, Kindle
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This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Principles Of Inventory Management

Author: John A. Muckstadt
Publisher: Springer Science & Business Media
ISBN: 0387689486
Size: 29.94 MB
Format: PDF, Docs
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Inventories are prevalent everywhere in the commercial world, whether it be in retail stores, manufacturing facilities, government stockpile material, Federal Reserve banks, or even your own household. This textbook examines basic mathematical techniques used to sufficiently manage inventories by using various computational methods and mathematical models. The text is presented in a way such that each section can be read independently, and so the order in which the reader approaches the book can be inconsequential. It contains both deterministic and stochastic models along with algorithms that can be employed to find solutions to a variety of inventory control problems. With exercises at the end of each chapter and a clear, systematic exposition, this textbook will appeal to advanced undergraduate and first-year graduate students in operations research, industrial engineering, and quantitative MBA programs. It also serves as a reference for professionals in both industry and government worlds. The prerequisite courses include introductory optimization methods, probability theory (non-measure theoretic), and stochastic processes.