Computational Finance
With the availability of new and more comprehensive financial market data, making headlines of massive public interest due to recent periods of extreme volatility and crashes, the field of computational finance is evolving ever faster thanks to significant advances made theoretically, and to the mas...
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| Ձևաչափ: | Online |
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| Լեզու: | անգլերեն |
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MDPI - Multidisciplinary Digital Publishing Institute
2021
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| Խորագրեր: | |
| Առցանց հասանելիություն: | ONIX_20210501_9783039369669_864 |
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Չկան պիտակներ, Եղեք առաջինը, ով նշում է այս գրառումը!
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| _version_ | 1869530737792778240 |
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| collection | Directory of Open Access Books |
| description | With the availability of new and more comprehensive financial market data, making headlines of massive public interest due to recent periods of extreme volatility and crashes, the field of computational finance is evolving ever faster thanks to significant advances made theoretically, and to the massive increase in accessible computational resources. This volume includes a wide variety of theoretical and empirical contributions that address a range of issues and topics related to computational finance. It collects contributions on the use of new and innovative techniques for modeling financial asset returns and volatility, on the use of novel computational methods for pricing, hedging, the risk management of financial instruments, and on the use of new high-dimensional or high-frequency data in multivariate applications in today’s complex world. The papers develop new multivariate models for financial returns and novel techniques for pricing derivatives in such flexible models, examine how pricing and hedging techniques can be used to assess the challenges faced by insurance companies, pension plan participants, and market participants in general, by changing the regulatory requirements. Additionally, they consider the issues related to high-frequency trading and statistical arbitrage in particular, and explore the use of such data to asses risk and volatility in financial markets. |
| format | Online |
| id | doab-20.500.12854ir-69118 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-691182024-03-29T19:31:07Z Computational Finance Stentoft, Lars insurance Solvency II risk-neutral models computational finance asset pricing models overnight price gaps financial econometrics mean-reversion statistical arbitrage high-frequency data jump-diffusion model instantaneous volatility directional-change seasonality forex bitcoin S& P500 risk management drawdown safe assets securitisation dealer behaviour liquidity bid–ask spread least-squares Monte Carlo put-call symmetry regression simulation algorithmic trading market quality defined contribution plan probability of shortfall quadratic shortfall dynamic asset allocation resampled backtests stochastic covariance 4/2 model option pricing risk measures American options exercise boundary Monte Carlo multiple exercise options dynamic programming stochastic optimal control asset pricing calibration derivatives hedging multivariate models volatility thema EDItEUR::K Economics, Finance, Business and Management With the availability of new and more comprehensive financial market data, making headlines of massive public interest due to recent periods of extreme volatility and crashes, the field of computational finance is evolving ever faster thanks to significant advances made theoretically, and to the massive increase in accessible computational resources. This volume includes a wide variety of theoretical and empirical contributions that address a range of issues and topics related to computational finance. It collects contributions on the use of new and innovative techniques for modeling financial asset returns and volatility, on the use of novel computational methods for pricing, hedging, the risk management of financial instruments, and on the use of new high-dimensional or high-frequency data in multivariate applications in today’s complex world. The papers develop new multivariate models for financial returns and novel techniques for pricing derivatives in such flexible models, examine how pricing and hedging techniques can be used to assess the challenges faced by insurance companies, pension plan participants, and market participants in general, by changing the regulatory requirements. Additionally, they consider the issues related to high-frequency trading and statistical arbitrage in particular, and explore the use of such data to asses risk and volatility in financial markets. 2021-05-01T15:41:32Z 2021-05-01T15:41:32Z 2020 book ONIX_20210501_9783039369669_864 9783039369669 9783039369676 https://directory.doabooks.org/handle/20.500.12854/69118 eng application/octet-stream Attribution 4.0 International https://mdpi.com/books/pdfview/book/2890 https://mdpi.com/books/pdfview/book/2890 MDPI - Multidisciplinary Digital Publishing Institute 10.3390/books978-3-03936-967-6 10.3390/books978-3-03936-967-6 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783039369669 9783039369676 259 Basel, Switzerland open access |
| spellingShingle | insurance Solvency II risk-neutral models computational finance asset pricing models overnight price gaps financial econometrics mean-reversion statistical arbitrage high-frequency data jump-diffusion model instantaneous volatility directional-change seasonality forex bitcoin S& P500 risk management drawdown safe assets securitisation dealer behaviour liquidity bid–ask spread least-squares Monte Carlo put-call symmetry regression simulation algorithmic trading market quality defined contribution plan probability of shortfall quadratic shortfall dynamic asset allocation resampled backtests stochastic covariance 4/2 model option pricing risk measures American options exercise boundary Monte Carlo multiple exercise options dynamic programming stochastic optimal control asset pricing calibration derivatives hedging multivariate models volatility thema EDItEUR::K Economics, Finance, Business and Management Computational Finance |
| title | Computational Finance |
| title_full | Computational Finance |
| title_fullStr | Computational Finance |
| title_full_unstemmed | Computational Finance |
| title_short | Computational Finance |
| title_sort | computational finance |
| topic | insurance Solvency II risk-neutral models computational finance asset pricing models overnight price gaps financial econometrics mean-reversion statistical arbitrage high-frequency data jump-diffusion model instantaneous volatility directional-change seasonality forex bitcoin S& P500 risk management drawdown safe assets securitisation dealer behaviour liquidity bid–ask spread least-squares Monte Carlo put-call symmetry regression simulation algorithmic trading market quality defined contribution plan probability of shortfall quadratic shortfall dynamic asset allocation resampled backtests stochastic covariance 4/2 model option pricing risk measures American options exercise boundary Monte Carlo multiple exercise options dynamic programming stochastic optimal control asset pricing calibration derivatives hedging multivariate models volatility thema EDItEUR::K Economics, Finance, Business and Management |
| topic_facet | insurance Solvency II risk-neutral models computational finance asset pricing models overnight price gaps financial econometrics mean-reversion statistical arbitrage high-frequency data jump-diffusion model instantaneous volatility directional-change seasonality forex bitcoin S& P500 risk management drawdown safe assets securitisation dealer behaviour liquidity bid–ask spread least-squares Monte Carlo put-call symmetry regression simulation algorithmic trading market quality defined contribution plan probability of shortfall quadratic shortfall dynamic asset allocation resampled backtests stochastic covariance 4/2 model option pricing risk measures American options exercise boundary Monte Carlo multiple exercise options dynamic programming stochastic optimal control asset pricing calibration derivatives hedging multivariate models volatility thema EDItEUR::K Economics, Finance, Business and Management |
| url | ONIX_20210501_9783039369669_864 |