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Numerical Methods for Finance (Hardcover)
Loot Price: R5,340
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Numerical Methods for Finance (Hardcover)
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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
methods as applied to the financial field. Presenting
state-of-the-art methods in this area, the book first discusses the
coherent risk measures theory and how it applies to practical risk
management. It then proposes a new method for pricing
high-dimensional American options, followed by a description of the
negative inter-risk diversification effects between credit and
market risk. After evaluating counterparty risk for interest rate
payoffs, the text considers strategies and issues concerning
defined contribution pension plans and participating life insurance
contracts. It also develops a computationally efficient swaption
pricing technology, extracts the underlying asset price
distribution implied by option prices, and proposes a hybrid GARCH
model as well as a new affine point process framework. In addition,
the book examines performance-dependent options, variance
reduction, Value at Risk (VaR), the differential evolution
optimizer, and put-call-futures parity arbitrage opportunities.
Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this
concise and well-illustrated book equips practitioners with the
necessary information to make important financial decisions.
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