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Computational Methods in Finance
Ali Hirsa
出版CRC Press, 2016-04-19
主題Business & Economics / Operations ResearchMathematics / GeneralMathematics / Probability & Statistics / GeneralMathematics / AppliedBusiness & Economics / Statistics
ISBN14665760499781466576049
URLhttp://books.google.com.hk/books?id=kYnNBQAAQBAJ&hl=&source=gbs_api
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註釋Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical methods. It addresses key computational methods in finance, including transform techniques, the finite difference method, and Monte Carlo simulation. Developed from his courses at Columbia University and the Courant Institute of New York University, the author also covers model calibration and optimization and describes techniques, such as Kalman and particle filters, for parameter estimation.