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Series : Springer Handbooks of Computational Statistics

Handbook of Computational Finance

¥ 32,379 (tax included)

Description

Latest 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

Anything that is openly traded has a market price that may be more or less than its “fair” price. For shares of corporate stock, the fair price is likely to be some complicated function of the intrinsic current value (or “book” value) of identifiable assets owned by the company, the expected rate of growth, future dividends, and other factors. Some of these factors that affect the price can be measured at the time of a stock transaction, or at least within a relatively narrow time window that includes the time of the transaction. Most factors, however, relate to expectations about the future and to subjective issues, such as current management and corporate policies, that could affect the future financial performance of the corporation.

Contents

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.