The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance.
John R. Birge, Vadim Linetsky
Publisher: Elsevier Science; 1026 p; 2007-11-26
ISBN-10 / ASIN: 0444517812; ISBN-13 / EAN: 9780444517814
Publisher: Elsevier Science; 1026 p; 2007-11-26
ISBN-10 / ASIN: 0444517812; ISBN-13 / EAN: 9780444517814
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