Computational Methods in Finance Ali Hirsa Chapman & Hall/CRC, , xxix + pages, £/$, hardcover ISBN. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through. Computational Methods in Finance by Ali Hirsa, , available at Book Depository with free delivery worldwide.
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These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation. The content reflects the author’s vast experience teaching master’s level courses at Columbia and NYU, while simultaneously researching and trading on quantitative finance in leading banks and hedge funds.
Interest Methpds Models – Theory and Practice: Amazon Music Stream millions of songs. Learn More about VitalSource Bookshelf. The book reviews common processes for modeling assets in different markets. The book is a very comprehensive and useful reference for anyone, even with limited mathematical background, who wishes to quickly understand techniques from computational finance.
The author analyzes and breaks down the problem into sections with clear derivations for each section.
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Amazon Renewed Refurbished products with a warranty. Mmethods course then my advise is: This book provides plenty of exercises and realistic case studies. Would you like to tell us about a lower price? The author discusses how to calibrate model parameters so that model prices are compatible with market prices.
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Already read this title? This book provides plenty of exercises and realistic case studies. The student resources previously accessed via GarlandScience.
Customers who bought this item also bought. Excellent book on pricing derivative securities via Fourier transform, finite difference methods, simulations, filtering and methhods estimation.
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methoda The math is just at the right amount: The book is well-written and easy to follow. Dispatched from the UK in 3 business days When will my order arrive? Also, there are a number errata that are very annoying and confusing. Computational Methods in Finance. It then examines many computational approaches for pricing derivatives. Showing of 12 reviews.
Computational Methods in Finance
Amazon Rapids Fun stories for kids on the go. Toggle navigation Cimputational Book Information. The author usually breaks down a complex problem into steps with clear mathematical derivations. Amazon Advertising Find, attract, and engage customers. The first part of the book describes pricing methods for numerous derivatives under a variety of models.
There is also a consistent level of math throughout the book, in the sense that the author knows the average audience of such a book and what mathematical background they come from and everywhere in the book there are technical details hovering around the same level.
Those who work through them will gain a deep understanding of the modern computational methods in finance. At the same time, it is not at all heavily theoretical; it describes just enough to convince you that something is mathematically reasonable.
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Computational Methods in Finance : Ali Hirsa :
The book reviews common processes for modeling assets in different markets. The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc.
Fourier methods, finite difference methods, Kalman filtering, monte-carlo simulation and many other topics are all gathered in one book, and in my opinion, with ample details and depth. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods.
The author discusses how to calibrate model parameters so that model prices are compatible with market prices. The book is a 5 star text book for studying at home, but it methdos a 3 star book if you want finacne use it as a quick reference at work. Hirsa does not only knows the subject very well both from a theoretical and practical perspective, but as author he rolls up his sleeves and guides the reader on how to do the real thing.
The next part focuses on essential steps in real-world derivative pricing.