Ebook: Handbook of Computational and Numerical Methods in Finance

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance.

Key topics covered include: methodological issues, i.e., genetic algorithms, neural networks, Monte–Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors.

Contributors: K. Amir-Atefi; Z. Atakhanova; A. Biglova; O.J. Blaskowitz; D. D’Souza; W.K. Härdle; I. Huber; I. Khindanova; A. Kohatsu-Higa; P. Kokoszka; M. Montero; S. Ortobelli; E. Özturkmen; G. Pagès; A. Parfionovas; H. Pham; J. Printems; S. Rachev; B. Racheva-Jotova; F. Schlottmann; P. Schmidt; D. Seese; S. Stoyanov; C.E. Testuri; S. Trück; S. Uryasev; and Z. Zheng.

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Content:
Front Matter....Pages i-ix
Skewness and Kurtosis Trades....Pages 1-14
Valuation of a Credit Spread Put Option: The Stable Paretian model with Copulas....Pages 15-69
GARCH-Type Processes in Modeling Energy Prices....Pages 71-110
Malliavin Calculus in Finance....Pages 111-174
Bootstrap Unit Root Tests for Heavy-Tailed Time Series....Pages 175-195
Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One....Pages 197-252
Optimal Quantization Methods and Applications to Numerical Problems in Finance....Pages 253-297
Numerical Methods for Stable Modeling in Financial Risk Management....Pages 299-329
Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications....Pages 331-359
On Relation Betweeen Expected Regret and Conditional Value-at-Risk....Pages 361-372
Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models....Pages 373-402
Numerical Analysis of Stochastic Differential Systems and its Applications in Finance....Pages 403-429
Back Matter....Pages 431-435

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Content:
Front Matter....Pages i-ix
Skewness and Kurtosis Trades....Pages 1-14
Valuation of a Credit Spread Put Option: The Stable Paretian model with Copulas....Pages 15-69
GARCH-Type Processes in Modeling Energy Prices....Pages 71-110
Malliavin Calculus in Finance....Pages 111-174
Bootstrap Unit Root Tests for Heavy-Tailed Time Series....Pages 175-195
Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One....Pages 197-252
Optimal Quantization Methods and Applications to Numerical Problems in Finance....Pages 253-297
Numerical Methods for Stable Modeling in Financial Risk Management....Pages 299-329
Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications....Pages 331-359
On Relation Betweeen Expected Regret and Conditional Value-at-Risk....Pages 361-372
Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models....Pages 373-402
Numerical Analysis of Stochastic Differential Systems and its Applications in Finance....Pages 403-429
Back Matter....Pages 431-435
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