Handbook of Computational Finance (Springer Handbooks of Computational Statistics)

Résumé : Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a "fair" value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools. Front Matter....Pages i-xi Front Matter....Pages 1-1 Computational Finance: An Introduction....Pages 3-11 Front Matter....Pages 13-13 Modeling Asset Prices....Pages 15-33 Diffusion Models of Asset Prices....Pages 35-60 Jump-Diffusion Models Driven by Lévy Processes....Pages 61-88 Multivariate Time Series Models for Asset Prices....Pages 89-115 Option Data and Modeling BSM Implied Volatility....Pages 117-142 Interest Rate Derivatives Pricing with Volatility Smile....Pages 143-201 Volatility Investing with Variance Swaps....Pages 203-219 Front Matter....Pages 221-221 Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions....Pages 223-251 Parametric Estimation of Risk Neutral Density Functions....Pages 253-275 Nonparametric Estimation of Risk-Neutral Densities....Pages 277-305 Value at Risk Estimation....Pages 307-333 Volatility Estimation Based on High-Frequency Data....Pages 335-369 Identifying Jumps in Asset Prices....Pages 371-399 Simulation-Based Estimation Methods for Financial Time Series Models....Pages 401-435 Front Matter....Pages 437-437 Filtering Methods....Pages 439-467 Fitting High-Dimensional Copulae to Data....Pages 469-501 Numerical Methods for Nonlinear PDEs in Finance....Pages 503-528 Numerical Solution of Stochastic Differential Equations in Finance....Pages 529-550 Lattice Approach and Implied Trees....Pages 551-577 Front Matter....Pages 437-437 Efficient Options Pricing Using the Fast Fourier Transform....Pages 579-604 Dynamic Programming and Hedging Strategies in Discrete Time....Pages 605-631 Approximation of Dynamic Programs....Pages 633-649 Computational Issues in Stress Testing....Pages 651-673 Portfolio Optimization....Pages 675-702 Low-Discrepancy Simulation....Pages 703-729 Introduction to Support Vector Machines and Their Applications in Bankruptcy Prognosis....Pages 731-761 Front Matter....Pages 763-763 MATLAB ® as a Tool in Computational Finance....Pages 765-780 R as a Tool in Computational Finance....Pages 781-804 Résumé : Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a "fair" value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools. Annotation Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a fair value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools