How Long to Read Topics in Numerical Methods for Finance

By Mark Cummins

How Long Does it Take to Read Topics in Numerical Methods for Finance?

It takes the average reader 3 hours and 27 minutes to read Topics in Numerical Methods for Finance by Mark Cummins

Assuming a reading speed of 250 words per minute. Learn more

Description

Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Efficient approximation methods are next developed for the application of the fast Fourier transform for option pricing under multifactor affine models with stochastic volatility and jumps. Following this, fast and accurate pricing techniques are showcased for the pricing of credit derivative contracts with discrete monitoring based on the Wiener-Hopf factorisation. With an energy theme, a recombining pentanomial lattice is developed for the pricing of gas swing contracts under regime switching dynamics. The book concludes with a linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets.

How long is Topics in Numerical Methods for Finance?

Topics in Numerical Methods for Finance by Mark Cummins is 204 pages long, and a total of 51,816 words.

This makes it 69% the length of the average book. It also has 63% more words than the average book.

How Long Does it Take to Read Topics in Numerical Methods for Finance Aloud?

The average oral reading speed is 183 words per minute. This means it takes 4 hours and 43 minutes to read Topics in Numerical Methods for Finance aloud.

What Reading Level is Topics in Numerical Methods for Finance?

Topics in Numerical Methods for Finance is suitable for students ages 12 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Topics in Numerical Methods for Finance?

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