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目录：
Contents
Part I Introduction
1 Computational Finance: An Introduction .............................. 3
Jin-Chuan Duan, James E. Gentle, and Wolfgang Karl Ha¨rdle
Part II Asset Pricing Models
2 Modeling Asset Prices ..................................................... 15
James E. Gentle and Wolfgang Karl Ha¨rdle
3 Diffusion Models of Asset Prices ......................................... 35
Je′roˆ me Detemple and Marcel Rindisbacher
4 Jump-Diffusion Models Driven by Le′vy Processes ..................... 61
Jose′ E. Figueroa-Lo′ pez
5 Multivariate Time Series Models for Asset Prices ..................... 89
Christian M. Hafner and Hans Manner
6 Option Data and Modeling BSM ImpliedVolatility ................... 117
Matthias R. Fengler
7 Interest Rate Derivatives Pricing with Volatility Smile ................ 143
Haitao Li
8 Volatility Investing with Variance Swaps ................................ 203
Wolfgang Karl Ha¨rdle and Elena Silyakova
Part III Statistical Inference in FinancialModels
9 Evaluation of Asset Pricing Models Using Two-Pass
Cross-Sectional Regressions .............................................. 223
Raymond Kan and Cesare Robotti
v
vi Contents
10 Parametric Estimation of Risk Neutral Density Functions ........... 253
Maria Grith and Volker Kra¨tschmer
11 Nonparametric Estimation of Risk-Neutral Densities ................. 277
Maria Grith, Wolfgang Karl Ha¨rdle, and Melanie Schienle
12 Value at Risk Estimation .............................. .................... 307
Ying Chen and Jun Lu
13 Volatility Estimation Based on High-FrequencyData ................. 335
Christian Pigorsch, Uta Pigorsch, and Ivaylo Popov
14 Identifying Jumps in Asset Prices .................... .................... 371
Johan Bjursell and James E. Gentle
15 Simulation-Based Estimation Methods for Financial Time
Series Models ............................................................... 401
Jun Yu
Part IV Computational Methods
16 Filtering Methods .......................................................... 439
Andras Fulop
17 Fitting High-Dimensional Copulae to Data ......... .................... 469
Ostap Okhrin
18 Numerical Methods for Nonlinear PDEs in Finance ................... 503
Peter A. Forsyth and Kenneth R. Vetzal
19 Numerical Solution of Stochastic Differential Equations
in Finance ............................................... .................... 529
Timothy Sauer
20 Lattice Approach and ImpliedTrees .................................... 551
Ru¨diger U. Seydel
21 Efficient Options Pricing Using the Fast Fourier
Transform ............................................... .................... 579
Yue Kuen Kwok, Kwai Sun Leung, and Hoi Ying Wong
22 Dynamic Programming and Hedging Strategies in
Discrete Time ............................................................... 605
Shih-Feng Huang and Meihui Guo
23 Approximation of Dynamic Programs ............... .................... 633
Miche`le Breton and Javier de Frutos
24 Computational Issues in Stress Testing .............. .................... 651
Ludger Overbeck
Contents vii
25 Portfolio Optimization................................. .................... 675
Je′roˆ me Detemple and Marcel Rindisbacher
26 Low-Discrepancy Simulation ......................... .................... 703
Harald Niederreiter
27 Introduction to Support Vector Machines and Their
Applications in Bankruptcy Prognosis .............. .................... 731
Yuh-Jye Lee, Yi-Ren Yeh, and Hsing-Kuo Pao
Part V Software Tools
28 MATLABOR
as a Tool in Computational Finance .. .................... 765
James E. Gentleand Angel Martinez
29 R as a Tool in Computational Finance ................................... 781
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