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Computational Finance

Author

Listed:
  • Lars Stentoft

    () (Department of Economics, University of Western Ontario, London, ON N6A 5C2, Canada
    Department of Statistical and Actuarial Sciences, University of Western Ontario, London, ON N6A 5B7, Canada)

Abstract

The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk management of financial instruments.

Suggested Citation

  • Lars Stentoft, 2020. "Computational Finance," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(7), pages 1-4, July.
  • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:145-:d:380235
    as

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    References listed on IDEAS

    as
    1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
    2. Peter G. Dunne, 2019. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-25, April.
    3. R. Mark Reesor & T. James Marshall, 2020. "Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(5), pages 1-31, May.
    4. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-31, April.
    5. Lars Stentoft, 2019. "Efficient Numerical Pricing of American Call Options Using Symmetry Arguments," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-26, April.
    6. Pascal L├ętourneau & Lars Stentoft, 2019. "Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-21, December.
    7. Peter A. Forsyth & Kenneth R. Vetzal, 2019. "Defined Contribution Pension Plans: Who Has Seen the Risk?," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-27, April.
    8. Purba Mukerji & Christine Chung & Timothy Walsh & Bo Xiong, 2019. "The Impact of Algorithmic Trading in a Simulated Asset Market," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-11, April.
    9. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    asset pricing; calibration; derivatives; hedging; multivariate models; risk management; simulation; volatility;

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • E - Macroeconomics and Monetary Economics
    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • G - Financial Economics

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