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Book Cover
Author Los, Cornelis A

Title Computational finance : a scientific perspective / Cornelis A. Los
Published Singapore ; River Edge, N.J. : World Scientific Pub., [2001]


Location Call no. Vol. Availability
 MELB  332.0151 Los/Cfa  AVAILABLE
Description 336 pages : illustrations ; 23 cm
Contents 1. A Scientific, Perspective -- 2. Capital Budgeting and Analytic Formulas -- 3. Fundamental Security Valuation -- 4. Analysis of Exact Data I -- 5. Analysis of Inexact Data II -- 6. Optimal Portfolio Formation -- 7. Systematic Financial Risk Analysis -- 8. Complete Valuation and Dynamic Risk Theory -- 9. Option Pricing I -- 10. Option Pricing II -- 11. Bond Portfolio Valuation and Management -- 12. Forwards and Futures -- 13. Swaps -- 14. Multi-Currency Investments and Exact-Performance Attribution -- A. Algebraic Geometric Measurements of the Bivariate Model -- B. Flow Chart of Linear Model Identification -- C. 3D Noise/Signal Ratio -- D. 1986 Manifesto for Identification of Models From Inexact Data -- E. List of (Computational) Finance Journals on the Internet
Summary "Computational finance deals with the mathematics of computer programs that realize financial models or systems. This book outlines the epistemic risks associated with the current valuations of different financial instruments and discusses the corresponding risk management strategies. It covers most of the research and practical areas in computational finance. Starting from traditional fundamental analysis and using algebraic and geometric tools, it is guided by the logic of science to explore information from financial data without prejudice. In fact, this book has the unique feature that it is structured around the simple requirement of objective science: the geometric structure of the data - the information contained in the data."--BOOK JACKET
Bibliography Includes bibliographical references and index
Subject Finance -- Statistical methods.
Finance -- Mathematical models.
LC no. 2001017684
ISBN 9810244967