Topics in Numerical Methods for Finance

by Cummins, Mark; Murphy, Finbarr; Miller, John J. H.

• ISBN13: 9781461434320
• ISBN10: 1461434327
• Format: Hardcover
• Copyright: 2012-07-16
• Publisher: Springer Verlag

Summary

Areas of numerical finance covered include: valuation and risk management of exotic derivatives (path-dependency and/or early exercise features); integral transform methods, in particular Fourier and FFT; simulation methods; lattice methods; partial differential equation methods; algorithmic and statistical arbitrage trading models; financial econometric methods; and inverse problems. The following two special themes of particular relevance given the current landscape of financial markets are emphasized: Special Theme 1 - Energy & Commodities Trading & Risk Management Given the unique physical-based features of the energy and commodities markets relative to other financial markets, leading advances in the application of numerical methods for the trading, valuation and risk management of the following are encouraged: Gas and oil storage contracts; Swing and take-or-pay contracts; Tolling agreements; Real options and virtual energy contracts; Emissions and environmental products, in particular EUAs and CERs; Alternative and green energy products. Special Theme 2 - Credit Derivatives, Credit Risk Modelling & Liquidity Modelling. Given the issues highlighted in relation to model risk in the credit markets during the global credit crisis, and with the changing regulatory environment driven by the Dodd-Frank Act, Basel III and Solvency II, cutting-edge research in the following key areas is encouraged: Default modelling and CDS valuation; Credit risk modelling; Credit adjustment valuation (CVA); Liquidity modelling.