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雷达卡
感觉这两本书不错，发上来分享
金融数值分析：Numerical Methods for Finance, Johe A. D. Appleby and David C. Edelman and John J. H. Miller
A Benchmark of quantative finace，Eckhard Platen, David Heath, (Springer Press)
Contents
Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii
List of Contributors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
About the Editors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiii
Sponsors. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .xv
CHAPTER 1 Coherent Measures of Risk into Everyday
Market Practice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Carlo Acerbi
CHAPTER 2 Pricing High-Dimensional American Options
Using Local Consistency Conditions . . . . . . . . . . . . . 13
S.J. Berridge and J.M. Schumacher
CHAPTER 3 Adverse Interrisk Diversification Effects
for FX Forwards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
Thomas Breuer and Martin Jandaˇcka
CHAPTER 4 Counterparty Risk Pricing under Correlation
between Default and Interest Rates. . . . . . . . . . . . . . .63
Damiano Brigo and Andrea Pallavicini
CHAPTER 5 Optimal Dynamic Asset Allocation for
Defined Contribution Pension Plans . . . . . . . . . . . . . 83
Andrew J.G. Cairns, David Blake, and Kevin Dowd
CHAPTER 6 On High-Performance Software Development
for the Numerical Simulation of Life
Insurance Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
S. Corsaro, P.L. De Angelis, Z. Marino, and F. Perla
CHAPTER 7 An Efficient Numerical Method for Pricing
Interest Rate Swaptions . . . . . . . . . . . . . . . . . . . . . . . . 113
Mark Cummins and Bernard Murphy
CHAPTER 8 Empirical Testing of Local Cross Entropy as a
Method for Recovering Asset’s Risk-Neutral
PDF from Option Prices . . . . . . . . . . . . . . . . . . . . . . . 149
Vladim´ır Dobi´aˇs
CHAPTER 9 Using Intraday Data to Forecast Daily
Volatility: A Hybrid Approach. . . . . . . . . . . . . . . . . . 173
David C. Edelman and Francesco Sandrini
CHAPTER 10 Pricing Credit from the Top Down with
Affine Point Processes . . . . . . . . . . . . . . . . . . . . . . . . . 195
Eymen Errais, Kay Giesecke, and Lisa R. Goldberg
CHAPTER 11 Valuation of Performance-Dependent Options
in a Black–Scholes Framework . . . . . . . . . . . . . . . . . 203
Thom Thomas Gerstner, Markus Holtz, and Ralf Korn
CHAPTER 12 Variance Reduction through Multilevel
Monte Carlo Path Calculations . . . . . . . . . . . . . . . . . 215
Michale B. Giles
CHAPTER 13 Value at Risk and Self-Similarity. . . . . . . . . . . . . . . .225
Menkens
CHAPTER 14 Parameter Uncertainty in Kalman-Filter
Esti mation of the CIR Term-Structure Model . . . . 255
Conall O’Sullivan
CHAPTER 15 EDDIE for Discovering Arbitrage
Opportunities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Edward Tsang, Sheri Markose, Alma Garcia, and Hakan Er
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