.

0 (hodnocen0 x )

EB

EB

Boca Raton, Fla. : CRC Press, [2018]

1 online zdroj (xiv, 301 stran)

ISBN 9781315335636 (e-book: Mobi)

ISBN 9781315372006 (e-book : PDF)

ISBN 9781482299663 (vázáno)

part, I Computationally Expensive Problems in the Financial Industry -- chapter 1 Computationally Expensive Problems in Investment Banking / Jonathan Rosen Christian Kahl Russell Goyder Mark Gibbs -- chapter 2 Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models / Gautam Mitra Christina Erlwein-Sayer Cristiano Arbex Valle Xiang Yu -- chapter 3 The Alpha Engine: Designing an Automated Trading Algorithm / Anton Golub James B. Glattfelder Richard B. Olsen -- chapter 4 Portfolio Liquidation and Ambiguity Aversion / lvaro Cartea Ryan Donnelly Sebastian Jaimungal -- chapter 5 Challenges in Scenario Generation: Modeling Market and Non-Market Risks in Insurance / Douglas McLean -- part, II Numerical Methods in Financial High-Performance Computing (HPC) -- chapter 6 Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs / Christoph Reisinger Rasmus Wissmann --

02 chapter 7 Multilevel Monte Carlo Methods for Applications in Finance * / Michael B. Giles Lukasz Szpruch -- chapter 8 Fourier and Wavelet Option Pricing Methods / Stefanus C. Maree Luis Ortiz-Gracia Cornelis W. Oosterlee -- chapter 9 A Practical Robust Long-Term Yield Curve Model / M. A. H. Dempster Elena A. Medova Igor Osmolovskiy Philipp Ustinov -- chapter 10 Algorithmic Differentiation / Uwe Naumann Jonathan Hser Jens Deussen Jacques du Toit -- chapter 11 Case Studies of Real-Time Risk Management via Adjoint Algorithmic Differentiation (AAD) / Luca Capriotti Jacky Lee -- chapter 12 Tackling Reinsurance Contract Optimization by Means of Evolutionary Algorithms and HPC / Omar Andres Carmona Cortes Andrew Rau-Chaplin -- chapter 13 Evaluating Blockchain Implementation of Clearing and Settlement at the IATA Clearing House / Sergey Ivliev Yulia Mizgireva Juan Ivan Martin --

03 part, III HPC Systems: Hardware, Software, and Data with Financial Applications -- chapter 14 Supercomputers / Peter Schober -- chapter 15 Multiscale Dataflow Computing in Finance / Oskar Mencer Brian Boucher Gary Robinson Jon Gregory Georgi Gaydadjiev -- chapter 16 Manycore Parallel Computation / John Ashley Mark Joshi -- chapter 17 Practitioner’s Guide on the Use of Cloud Computing in Finance / Binghuan Lin Rainer Wehkamp Juho Kanniainen -- chapter 18 Blockchains and Distributed Ledgers in Retrospective and Perspective / Alexander Lipton -- chapter 19 Optimal Feature Selection Using a Quantum Annealer / Andrew Milne Max Rounds Phil Goddard.

001478449

(OCoLC)1023826987