Taylor & Francis GroupTaylor & Francis Group
Search all titles
  • Login
  • Hi, User  
    • Your Account
    • Logout
  • Search all titles
  • Search all collections
Numerical Methods for Finance
loading
Numerical Methods for Finance

Numerical Methods for Finance

Edited ByJohn Miller, David Edelman, John Appleby
Edition 1st Edition
First Published 2007
eBook Published 21 September 2007
Pub. location New York
Imprint Chapman and Hall/CRC
DOIhttps://doi.org/10.1201/9781584889267
Pages 312 pages
eBook ISBN 9781584889267
SubjectsEconomics, Finance, Business & Industry, Mathematics & Statistics
Get Citation

Get Citation

Miller, J. (Ed.), Edelman, D. (Ed.), Appleby, J. (Ed.). (2008). Numerical Methods for Finance. New York: Chapman and Hall/CRC, https://doi.org/10.1201/9781584889267
ABOUT THIS BOOK

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

TABLE OF CONTENTS
chapter 1|12 pages
Coherent Measures of Risk into Everyday Market Practice
ByCarlo Acerbi
View abstract
chapter 2|40 pages
Pricing High-Dimensional American Options Using Local Consistency Conditions
ByS.J. Berridge and J.M. Schumacher
View abstract
chapter 3|10 pages
Adverse Interrisk Diversification Effects for FX Forwards
ByThomas Breuer, Martin Jandacˇka
View abstract
chapter 4|20 pages
Counterparty Risk Pricing under Correlation between Default and Interest Rates
ByDamiano Brigo, Andrea Pallavicini
View abstract
chapter 5|4 pages
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans
ByAndrew J.G. Cairns, David Blake, and Kevin Dowd
View abstract
chapter 6|26 pages
On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
ByS. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
View abstract
chapter 7|36 pages
An Efficient Numerical Method for Pricing Interest Rate Swaptions
ByMark Cummins, Bernard Murphy
View abstract
chapter 8|24 pages
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . Vladimı´r Dobia´sˇ
View abstract
chapter 9|22 pages
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach
ByDavid C. Edelman, Francesco Sandrini
View abstract
chapter 10|8 pages
Pricing Credit from the Top Down with Affine Point Processes
ByEymen Errais, Kay Giesecke, Lisa R. Goldberg
View abstract
chapter 11|12 pages
Valuation of Performance-Dependent Options in a Black–Scholes Framework
ByThomas Gerstner, Markus Holtz, Ralf Korn
View abstract
chapter 12|10 pages
Variance Reduction through Multilevel Monte Carlo Path Calculations
ByMichael B. Giles
View abstract
chapter 13|30 pages
Value at Risk and Self-Similarity
ByOlaf Menkens
View abstract
chapter 14|26 pages
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model
ByConall O’Sullivan
View abstract
chapter 15|4 pages
EDDIE for Discovering Arbitrage Opportunities
ByEdward Tsang, Sheri Markose, Alma Garcia, Hakan Er
View abstract

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

TABLE OF CONTENTS
chapter 1|12 pages
Coherent Measures of Risk into Everyday Market Practice
ByCarlo Acerbi
View abstract
chapter 2|40 pages
Pricing High-Dimensional American Options Using Local Consistency Conditions
ByS.J. Berridge and J.M. Schumacher
View abstract
chapter 3|10 pages
Adverse Interrisk Diversification Effects for FX Forwards
ByThomas Breuer, Martin Jandacˇka
View abstract
chapter 4|20 pages
Counterparty Risk Pricing under Correlation between Default and Interest Rates
ByDamiano Brigo, Andrea Pallavicini
View abstract
chapter 5|4 pages
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans
ByAndrew J.G. Cairns, David Blake, and Kevin Dowd
View abstract
chapter 6|26 pages
On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
ByS. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
View abstract
chapter 7|36 pages
An Efficient Numerical Method for Pricing Interest Rate Swaptions
ByMark Cummins, Bernard Murphy
View abstract
chapter 8|24 pages
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . Vladimı´r Dobia´sˇ
View abstract
chapter 9|22 pages
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach
ByDavid C. Edelman, Francesco Sandrini
View abstract
chapter 10|8 pages
Pricing Credit from the Top Down with Affine Point Processes
ByEymen Errais, Kay Giesecke, Lisa R. Goldberg
View abstract
chapter 11|12 pages
Valuation of Performance-Dependent Options in a Black–Scholes Framework
ByThomas Gerstner, Markus Holtz, Ralf Korn
View abstract
chapter 12|10 pages
Variance Reduction through Multilevel Monte Carlo Path Calculations
ByMichael B. Giles
View abstract
chapter 13|30 pages
Value at Risk and Self-Similarity
ByOlaf Menkens
View abstract
chapter 14|26 pages
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model
ByConall O’Sullivan
View abstract
chapter 15|4 pages
EDDIE for Discovering Arbitrage Opportunities
ByEdward Tsang, Sheri Markose, Alma Garcia, Hakan Er
View abstract
CONTENTS
ABOUT THIS BOOK

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

TABLE OF CONTENTS
chapter 1|12 pages
Coherent Measures of Risk into Everyday Market Practice
ByCarlo Acerbi
View abstract
chapter 2|40 pages
Pricing High-Dimensional American Options Using Local Consistency Conditions
ByS.J. Berridge and J.M. Schumacher
View abstract
chapter 3|10 pages
Adverse Interrisk Diversification Effects for FX Forwards
ByThomas Breuer, Martin Jandacˇka
View abstract
chapter 4|20 pages
Counterparty Risk Pricing under Correlation between Default and Interest Rates
ByDamiano Brigo, Andrea Pallavicini
View abstract
chapter 5|4 pages
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans
ByAndrew J.G. Cairns, David Blake, and Kevin Dowd
View abstract
chapter 6|26 pages
On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
ByS. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
View abstract
chapter 7|36 pages
An Efficient Numerical Method for Pricing Interest Rate Swaptions
ByMark Cummins, Bernard Murphy
View abstract
chapter 8|24 pages
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . Vladimı´r Dobia´sˇ
View abstract
chapter 9|22 pages
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach
ByDavid C. Edelman, Francesco Sandrini
View abstract
chapter 10|8 pages
Pricing Credit from the Top Down with Affine Point Processes
ByEymen Errais, Kay Giesecke, Lisa R. Goldberg
View abstract
chapter 11|12 pages
Valuation of Performance-Dependent Options in a Black–Scholes Framework
ByThomas Gerstner, Markus Holtz, Ralf Korn
View abstract
chapter 12|10 pages
Variance Reduction through Multilevel Monte Carlo Path Calculations
ByMichael B. Giles
View abstract
chapter 13|30 pages
Value at Risk and Self-Similarity
ByOlaf Menkens
View abstract
chapter 14|26 pages
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model
ByConall O’Sullivan
View abstract
chapter 15|4 pages
EDDIE for Discovering Arbitrage Opportunities
ByEdward Tsang, Sheri Markose, Alma Garcia, Hakan Er
View abstract

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

TABLE OF CONTENTS
chapter 1|12 pages
Coherent Measures of Risk into Everyday Market Practice
ByCarlo Acerbi
View abstract
chapter 2|40 pages
Pricing High-Dimensional American Options Using Local Consistency Conditions
ByS.J. Berridge and J.M. Schumacher
View abstract
chapter 3|10 pages
Adverse Interrisk Diversification Effects for FX Forwards
ByThomas Breuer, Martin Jandacˇka
View abstract
chapter 4|20 pages
Counterparty Risk Pricing under Correlation between Default and Interest Rates
ByDamiano Brigo, Andrea Pallavicini
View abstract
chapter 5|4 pages
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans
ByAndrew J.G. Cairns, David Blake, and Kevin Dowd
View abstract
chapter 6|26 pages
On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
ByS. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
View abstract
chapter 7|36 pages
An Efficient Numerical Method for Pricing Interest Rate Swaptions
ByMark Cummins, Bernard Murphy
View abstract
chapter 8|24 pages
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . Vladimı´r Dobia´sˇ
View abstract
chapter 9|22 pages
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach
ByDavid C. Edelman, Francesco Sandrini
View abstract
chapter 10|8 pages
Pricing Credit from the Top Down with Affine Point Processes
ByEymen Errais, Kay Giesecke, Lisa R. Goldberg
View abstract
chapter 11|12 pages
Valuation of Performance-Dependent Options in a Black–Scholes Framework
ByThomas Gerstner, Markus Holtz, Ralf Korn
View abstract
chapter 12|10 pages
Variance Reduction through Multilevel Monte Carlo Path Calculations
ByMichael B. Giles
View abstract
chapter 13|30 pages
Value at Risk and Self-Similarity
ByOlaf Menkens
View abstract
chapter 14|26 pages
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model
ByConall O’Sullivan
View abstract
chapter 15|4 pages
EDDIE for Discovering Arbitrage Opportunities
ByEdward Tsang, Sheri Markose, Alma Garcia, Hakan Er
View abstract
ABOUT THIS BOOK
ABOUT THIS BOOK

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

TABLE OF CONTENTS
chapter 1|12 pages
Coherent Measures of Risk into Everyday Market Practice
ByCarlo Acerbi
View abstract
chapter 2|40 pages
Pricing High-Dimensional American Options Using Local Consistency Conditions
ByS.J. Berridge and J.M. Schumacher
View abstract
chapter 3|10 pages
Adverse Interrisk Diversification Effects for FX Forwards
ByThomas Breuer, Martin Jandacˇka
View abstract
chapter 4|20 pages
Counterparty Risk Pricing under Correlation between Default and Interest Rates
ByDamiano Brigo, Andrea Pallavicini
View abstract
chapter 5|4 pages
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans
ByAndrew J.G. Cairns, David Blake, and Kevin Dowd
View abstract
chapter 6|26 pages
On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
ByS. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
View abstract
chapter 7|36 pages
An Efficient Numerical Method for Pricing Interest Rate Swaptions
ByMark Cummins, Bernard Murphy
View abstract
chapter 8|24 pages
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . Vladimı´r Dobia´sˇ
View abstract
chapter 9|22 pages
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach
ByDavid C. Edelman, Francesco Sandrini
View abstract
chapter 10|8 pages
Pricing Credit from the Top Down with Affine Point Processes
ByEymen Errais, Kay Giesecke, Lisa R. Goldberg
View abstract
chapter 11|12 pages
Valuation of Performance-Dependent Options in a Black–Scholes Framework
ByThomas Gerstner, Markus Holtz, Ralf Korn
View abstract
chapter 12|10 pages
Variance Reduction through Multilevel Monte Carlo Path Calculations
ByMichael B. Giles
View abstract
chapter 13|30 pages
Value at Risk and Self-Similarity
ByOlaf Menkens
View abstract
chapter 14|26 pages
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model
ByConall O’Sullivan
View abstract
chapter 15|4 pages
EDDIE for Discovering Arbitrage Opportunities
ByEdward Tsang, Sheri Markose, Alma Garcia, Hakan Er
View abstract

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

TABLE OF CONTENTS
chapter 1|12 pages
Coherent Measures of Risk into Everyday Market Practice
ByCarlo Acerbi
View abstract
chapter 2|40 pages
Pricing High-Dimensional American Options Using Local Consistency Conditions
ByS.J. Berridge and J.M. Schumacher
View abstract
chapter 3|10 pages
Adverse Interrisk Diversification Effects for FX Forwards
ByThomas Breuer, Martin Jandacˇka
View abstract
chapter 4|20 pages
Counterparty Risk Pricing under Correlation between Default and Interest Rates
ByDamiano Brigo, Andrea Pallavicini
View abstract
chapter 5|4 pages
Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans
ByAndrew J.G. Cairns, David Blake, and Kevin Dowd
View abstract
chapter 6|26 pages
On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies
ByS. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
View abstract
chapter 7|36 pages
An Efficient Numerical Method for Pricing Interest Rate Swaptions
ByMark Cummins, Bernard Murphy
View abstract
chapter 8|24 pages
Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . Vladimı´r Dobia´sˇ
View abstract
chapter 9|22 pages
Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach
ByDavid C. Edelman, Francesco Sandrini
View abstract
chapter 10|8 pages
Pricing Credit from the Top Down with Affine Point Processes
ByEymen Errais, Kay Giesecke, Lisa R. Goldberg
View abstract
chapter 11|12 pages
Valuation of Performance-Dependent Options in a Black–Scholes Framework
ByThomas Gerstner, Markus Holtz, Ralf Korn
View abstract
chapter 12|10 pages
Variance Reduction through Multilevel Monte Carlo Path Calculations
ByMichael B. Giles
View abstract
chapter 13|30 pages
Value at Risk and Self-Similarity
ByOlaf Menkens
View abstract
chapter 14|26 pages
Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model
ByConall O’Sullivan
View abstract
chapter 15|4 pages
EDDIE for Discovering Arbitrage Opportunities
ByEdward Tsang, Sheri Markose, Alma Garcia, Hakan Er
View abstract
Taylor & Francis Group
Policies
  • Privacy Policy
  • Terms & Conditions
  • Cookie Policy
Journals
  • Taylor & Francis Online
  • CogentOA
Corporate
  • Taylor & Francis
    Group
  • Taylor & Francis Group
Help & Contact
  • Students/Researchers
  • Librarians/Institutions

Connect with us

Registered in England & Wales No. 3099067
5 Howick Place | London | SW1P 1WG © 2018 Informa UK Limited