Duan J.-C., Härdle W.K., Gentle J.E. (Eds.) Handbook of Computational Finance

Springer – 2012, 812 p.
ISBN: 3642172539Latest volume in the Springer Handbooks of Computational Statistics series
Addresses the broad application of computational statistics to the world of finance
Covers Modern financial Tools; Computational efficient algorithms; Pricing of complex products; Risk behavior; Pricing kernels and more
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.Introduction.- Pricing Models.- Statistical Inference in Financial Models.- Computational Methods.- Software Tools.- Possible further Topics: Realized Volatility/High Frequency Data.-Microstructure Empirical Analysis.- Option Pricing.- GARCH and Diffusion Jump Limits.- Interest Rate Derivatives.