Computational Finance

• Autres auteurs: Stentoft, Lars (Éditeur intellectuel)
• Format: Électronique Chapitre de livre
• Langue: anglais
• Publié: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
• Sujets: Economics, finance, business & management; insurance; Solvency II; risk-neutral models; computational finance; asset pricing models; overnight price gaps; financial econometrics; mean-reversion; statistical arbitrage; high-frequency data; jump-diffusion model; instantaneous volatility; directional-change; seasonality; forex; bitcoin; S& P500; risk management; drawdown; safe assets; securitisation; dealer behaviour; liquidity; bid-ask spread; least-squares Monte Carlo; put-call symmetry; regression; simulation; algorithmic trading; market quality; defined contribution plan; probability of shortfall; quadratic shortfall; dynamic asset allocation; resampled backtests; stochastic covariance; 4/2 model; option pricing; risk measures; American options; exercise boundary; Monte Carlo; multiple exercise options; dynamic programming; stochastic optimal control; asset pricing; calibration; derivatives; hedging; multivariate models; volatility
• Accès en ligne: DOAB: download the publication; DOAB: description of the publication

With the availability of new and more comprehensive financial market data, making headlines of massive public interest due to recent periods of extreme volatility and crashes, the field of computational finance is evolving ever faster thanks to significant advances made theoretically, and to the mas...