- Enables reader to incorporate advanced financial modelling techniques in Windows compatible software
- Aids the development of bespoke software solutions covering GARCH volatility modelling, derivative pricing with Partial Differential Equations, VAR, bond and stock options
Table of Contents
- Using Numerical Software Components with Microsoft Windows: Introduction; Dynamic Link Libraries (DLLs); ActiveX and COM; A financial derivative pricing example; ActiveX components and numerical optimization; XML and transformation using XSL; Epilogue; Pricing Assets: Introduction; Analytical methods and single asset European options; Numeric methods and single asset American options; Monte Carlo simulation; Multiasset European and American options; Dealing with missing data; Financial Econometrics: Introduction; GARCH models; Nonlinear GARCH; GARCH conditional probability distributions; Maximum likelihood parameter estimation; Analytic derivatives of the log likelihood; GJR-GARCH algorithms; GARCH software; GARCH process identification; Multivariate time series; Appendices.
- No. of pages: 456
- Language: English
- Copyright: © Butterworth-Heinemann 2003
- Published: December 17, 2003
- Imprint: Butterworth-Heinemann
- Hardcover ISBN: 9780750657228
- eBook ISBN: 9780080472270
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