Handbook of Computational Finance" by Jin-Chuan Duan, Wolfgang Karl Hardle and James Gentle (2012) springer
目录：

Contents

  

Part I     Introduction

1      Computational Finance: An Introduction  ..............................                        3

Jin-Chuan Duan, James E. Gentle, and Wolfgang Karl Ha¨rdle

Part II      Asset Pricing Models

2      Modeling Asset Prices .....................................................                                15

James E. Gentle and Wolfgang Karl Ha¨rdle

3      Diffusion Models of Asset Prices .........................................                          35

Je′roˆ me Detemple and Marcel Rindisbacher

4      Jump-Diffusion Models Driven by Le′vy Processes .....................                 61

Jose′ E. Figueroa-Lo′ pez

5      Multivariate Time Series Models for Asset Prices .....................            89

Christian M. Hafner and Hans Manner

6      Option Data and Modeling BSM ImpliedVolatility  ...................  117

Matthias R. Fengler

7      Interest Rate Derivatives Pricing with Volatility Smile ................  143

Haitao Li

8      Volatility Investing with Variance Swaps ................................  203

Wolfgang Karl Ha¨rdle and Elena Silyakova

Part III      Statistical Inference in FinancialModels

9      Evaluation of Asset Pricing Models Using Two-Pass

Cross-Sectional Regressions ..............................................  223

Raymond Kan and Cesare Robotti

v

vi                                                                                                                                   Contents

10   Parametric Estimation of Risk Neutral Density Functions  ...........   253

Maria Grith and Volker Kra¨tschmer

11   Nonparametric Estimation of Risk-Neutral Densities .................  277

Maria Grith, Wolfgang Karl Ha¨rdle, and Melanie Schienle

12   Value at Risk Estimation .............................. ....................  307

Ying Chen and Jun Lu

13   Volatility Estimation Based on High-FrequencyData .................  335

Christian Pigorsch, Uta Pigorsch, and Ivaylo Popov

14   Identifying Jumps in Asset Prices .................... ....................  371

Johan Bjursell and James E. Gentle

15   Simulation-Based Estimation Methods for Financial Time

Series Models ...............................................................  401

Jun Yu

Part IV      Computational Methods

16   Filtering Methods ..........................................................  439

Andras Fulop

17   Fitting High-Dimensional Copulae to Data ......... ....................  469

Ostap Okhrin

18   Numerical Methods for Nonlinear PDEs in Finance ...................  503

Peter A. Forsyth and Kenneth R. Vetzal

19   Numerical Solution of Stochastic Differential Equations

in Finance ............................................... ....................  529

Timothy Sauer

20   Lattice Approach and ImpliedTrees  ....................................  551

Ru¨diger U. Seydel

21   Efficient Options Pricing Using the Fast Fourier

Transform ............................................... ....................  579

Yue Kuen Kwok, Kwai Sun Leung, and Hoi Ying Wong

22   Dynamic Programming and Hedging Strategies in

Discrete Time ...............................................................  605

Shih-Feng Huang and Meihui Guo

23   Approximation of Dynamic Programs ............... ....................  633

Miche`le Breton and Javier de Frutos

24   Computational Issues in Stress Testing .............. ....................  651

Ludger Overbeck

Contents                                                                                                                                 vii

25   Portfolio Optimization................................. ....................  675

Je′roˆ me Detemple and Marcel Rindisbacher

26   Low-Discrepancy Simulation ......................... ....................  703

Harald Niederreiter

27   Introduction to Support Vector Machines and Their

Applications in Bankruptcy Prognosis .............. ....................  731

Yuh-Jye Lee, Yi-Ren Yeh, and Hsing-Kuo Pao

Part V   Software Tools

28   MATLABOR

as a Tool in Computational Finance .. .................... 765

James E. Gentleand Angel Martinez

29   R as a Tool in Computational Finance ...................................  781

John P. Nolan