Tools for Computational Finance

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Rüdiger U. Seydel, Tools for Computational Finance (2017).zip (7.65 MB, 需要: 10 个论坛币) 本附件包括：

• Rüdiger U. Seydel, Tools for Computational Finance (2017).pdf

2021-12-1 20:58:16 上传

需要: 10 个论坛币  [购买]

1 Modeling Tools for Financial Options ..................................... 1
1.1 Options ................................................................. 1
1.1.1 The Payoff Function........................................... 2
1.1.2 A Priori Bounds ............................................... 5
1.1.3 Options in the Market ......................................... 6
1.1.4 The Geometry of Options ..................................... 7
1.2 Model of the Financial Market ........................................ 9
1.3 Numerical Methods.................................................... 12
1.3.1 Algorithms..................................................... 13
1.3.2 Discretization .................................................. 14
1.3.3 Effificiency ...................................................... 15
1.4 The Binomial Method ................................................. 16
1.4.1 A Discrete Model.............................................. 16
1.4.2 Derivation of Equations ....................................... 18
1.4.3 Solution of the Equations ..................................... 21
1.4.4 A Basic Algorithm ............................................ 21
1.4.5 Improving the Convergence................................... 24
1.4.6 Sensitivities .................................................... 27
1.4.7 Extensions ..................................................... 29
1.5 Risk-Neutral Valuation ................................................ 30
1.6 Stochastic Processes ................................................... 34
1.6.1 Wiener Process ................................................ 35
1.6.2 Stochastic Integral ............................................. 37
1.7 Diffusion Models ...................................................... 41
1.7.1 Itô Process ..................................................... 41
1.7.2 Geometric Brownian Motion ................................. 44
1.7.3 Risk-Neutral Valuation ........................................ 45
1.7.4 Mean Reversion ............................................... 47
1.7.5 Vector-Valued Stochastic Differential Equations ............ 481.8 Itô Lemma and Applications .......................................... 51
1.8.1 Itô Lemma ..................................................... 51
1.8.2 Consequences for Geometric Brownian Motion ............. 52
1.8.3 Integral Representation........................................ 54
1.8.4 Bermudan Options ............................................ 55
1.8.5 Empirical Tests ................................................ 57
1.9 Jump Models........................................................... 58
1.9.1 Poisson Process................................................ 58
1.9.2 Simulating Jumps ............................................. 60
1.9.3 Jump Diffusion ................................................ 61
1.10 Calibration ............................................................. 63
1.11 Notes and Comments .................................................. 66
1.12 Exercises ............................................................... 71

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享1 收藏3 回帖

关键词：Computation Finance Financ Comput ATION

Financial engineering and numerical computation are genuinely different disciplines. But in finance, many computational methods are used and have become
indispensable. This book explains how computational methods work in financial
engineering. The main focus is on computational methods; financial engineering
is the application. In this context, the numerical methods are tools, the tools for
computational finance.
Faced with the vast and rapidly growing field of financial engineering, we need
to choose a subarea to avoid overloading the textbook. We choose the attractive
field of option pricing, a core task of financial engineering and risk analysis. The
broad field of option pricing is both ambitious and diverse enough to call for a wide
range of computational tools. Confining ourselves to option pricing enables a more
coherent textbook and avoids being distracted away from computational issues. We
trust that the focus on option-related methods is representative of, or least helpful
for, the entire field of computational finance.
The book starts with an introductory Chap. 1, which collects financial and
stochastic background. The remaining parts of the book are devoted to computational methods. Organizing computational methods, roughly speaking, leads to
distinguish stochastic and deterministic approaches. By “stochastic methods,” we
mean computations based on random numbers, such as Monte Carlo simulation.
Chapters 2 and 3 are devoted to such methods. In contrast, “deterministic methods”
are frequently based on solving partial differential equations. This is discussed
in Chaps. 4, 5, and 6. In the computer, finally, everything is deterministic. The
distinction between “stochastic” and “deterministic” is mainly to motivate and
derive different approaches.

yunnandlg 发表于 2021-12-1 21:00
1 Modeling Tools for Financial Options ..................................... 1
1.1 Op ...

谢谢分享

yunnandlg 发表于 2021-12-1 21:00
1 Modeling Tools for Financial Options ..................................... 1
1.1 Op ...

谢谢分享

感谢分享

谢谢分享

许多新想法来自于直觉，但是直觉不过是人类智慧的一种初级产物罢了。A new idea comes suddenly and in a rather intuitive way. But intuition is nothing but the outcome of earlier intellectual experience                                                                                        - - -阿尔伯特. 爱因斯坦

第一层-直觉思维：也就是与“深度思维”相反的，“浅层的”，“直接的”，“直觉性的”思维；换句话说，就是我们听到某件事或者思考某个问题时脑子冒出来的第一个想法。