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COMPUTATIONAL FINANCE: A Scientific Perspective

COMPUTATIONAL FINANCE: A Scientific Perspective

19386711
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Описание
This book outlines the epistemic (modeling) risks associated with the valuation of current financial instruments and their corresponding risk management strategies. The essence of empirically accurate modeling is shown to be the identification of the underlying geometric structure of the incomplete data. Starting from traditional fundamental analysis, it discusses bonds, stocks, options, futures, swaps, and their portfolio selection. By adding three new chapters, this second edition now takes the reader right up to the most advanced methods of optimal multi-country-asset-currency portfolio management and persistence analysis of international financial markets, impacting the modern valuation of risk by options.Numerous empirical financial examples were collected by the author during his 30-year professional and academic career in economics and finance. These examples elaborate on the points he makes, while detailed footnotes introduce many scientists who have presented similar arguments in physics, biology and mathematics.