Numerical Methods for Finance

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 provides valuable, practical information about credit risks, exotic/hybrid options, retirement plans/pensions, life insurance, portfolio selection, incentive schemes, and interest rate modeling. The book presents a variety of novel mathematical methods involving finite-difference, Monte Carlo, and fast Fourier transform techniques. It also offers realistic alternatives to the VaR approach used in financial risk management practice and identifies potential pitfalls of standard methodologies.

Autorentext
John A. D. Appleby , David C. Edelman, John J. H. Miller

Inhalt
Coherent Measures of Risk into Everyday Market Practice. Pricing High-Dimensional American Options Using Local Consistency Conditions. Adverse Inter-Risk Diversification Effects for FX Forwards. Counterparty Risk under Correlation between Default and Interest Rates. Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies. An Efficient Numerical Method for Pricing Interest Rate Swaptions. Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices. Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach. Pricing Credit from the Top Down with Affine Point Processes. Valuation of Performance-Dependent Options in a Black-Scholes Framework. Variance Reduction through Multilevel Monte Carlo Path Calculations. Value at Risk and Self-Similarity. Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model. EDDIE for Discovering Arbitrage Opportunities. Index.