COMPUTATIONAL METHODS IN FINANCE ALI HIRSA PDF

Computational Methods in Finance Ali Hirsa Chapman & Hall/CRC, , xxix + pages, £/$, hardcover ISBN. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through. Computational Methods in Finance by Ali Hirsa, , available at Book Depository with free delivery worldwide.

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Computational Methods in Finance

This book provides plenty of exercises and realistic case studies. Stochastic Finance Nicolas Privault. The book is a result of lecture notes that the author had used for teaching for years and I guess the hlrsa in the exposition is a result of the feedback from the students over the years. As a result, most people with decent math background can understand these derivations and can write a computer program solving PIDE to get price of an American option.

This book provides plenty of exercises and realistic case studies. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier computatiknal, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.

Amazon Renewed Refurbished products with a warranty. Computational Methods in Finance Ali Hirsa. There is also extensive material on model calibration, including interest rate models and filtering approaches. Stochastic Finance Jan Vecer. The first part of the book describes pricing methods for numerous derivatives under a variety of models. You will be prompted to fill out a registration form which will be verified by one of our sales reps.

Editorial Reviews Review “The depth and breadth of this stand-alone textbook on computatjonal methods in finance is astonishing. Option Valuation Hugo D. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation.

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The book is a very comprehensive and useful reference for anyone, even with limited mathematical background, who wishes to quickly understand techniques from computational finance. Amazon Second Chance Pass it on, trade it in, give it a second life. Showing of 12 reviews. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation.

computtaional The author analyzes and breaks down the problem into sections with clear derivations for each section. It brings together a full-spectrum of methods with many practical examples.

The author usually breaks down a complex problem into steps with clear mathematical derivations. Learning how the author deal and think about those issues is of great value. There is also extensive material on model calibration, including interest rate models and filtering approaches. Other books in this series. The choice of topics is eclectic: The Bookshelf application offers access: Add to Wish List. Applying a generic computational method to a specific stochastic process or financial product is not always straight forward and would sometimes need a significant amount of further mathematical derivation.

Developed from computarional author’s courses at Columbia University and the Courant Institute of New York University, this self-contained text is designed for graduate students in financial engineering and mathematical finance as well as practitioners in the financial industry. Selected pages Title Page. He’s an amazing teacher, but also be aware that he’s a tough grader.

User Review – Flag as inappropriate The book covers many interesting and challenging topics like Fourier transformation methods, finite difference methods, Kalman filtering and Monte-Carlo simulation etc. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.

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It will help readers accurately price a vast array of derivatives. I have seen a number of the topics elsewhere, however things look much more clear and easier to follow in this book.

In addition, it seems to be an excellent teaching book. The exposition is extremely clear, well-written and easy to follow: This uniquely comprehensive and well-written book will undoubtedly prove invaluable to many researchers and practitioners.

Kindle Cloud Reader Read instantly in your browser. See all 12 reviews. AmazonGlobal Ship Orders Internationally. Product pricing will be adjusted to match the corresponding currency. There is no doubt that every chapter of this book could be a book by itself, but in my opinion the book has achieved to cover significant cmoputational in each chapter.

It will help readers accurately price a vast array of derivatives. Hirsa’s course then my advise is: The serious student has a lot to gain with this book. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods.

Discover Prime Book Box for Kids. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation.

Computational Methods in Finance – CRC Press Book

Customers who bought this item also bought. Those who work through them will gain a deep understanding of the modern computational methods in finance. Amazon Drive Cloud storage from Amazon. This book brings together the course lecture notes and adds more to them. Request hiraa e-inspection copy.