A Workout in Computational Finance (eBook)

MICHAEL AICHINGER obtained his Ph.D. in Theoretical Physics from the Johannes Kepler University Linz with a thesis on numerical methods in density functional theory and their application to 2D finite electron systems. A mobility grant led him to the Texas A&M University (2003) and to the Helsinki University of Technology (2004). In 2007 Michael Aichinger joined the Industrial Mathematics Competence Center where he has been working as a senior researcher and consultant in the field of quantitative finance for the last five years. He also works for the Austrian Academy of Sciences at the Radon Institute for Computational and Applied Mathematics where he is involved in several industrial mathematics and computational physics projects. Michael has (co-) authored around 20 journal articles in the fields of computational physics and quantitative finance. ANDREAS BINDER obtained his Ph.D. in Industrial Mathematics from the Johannes Kepler University Linz with a thesis on continuous casting of steel. A research grant led him to the Oxford Center for Industrial and Applied Mathematics, UK, in 1991, where he got in touch with mathematical finance for the first time. After some years being an assistant professor at the Industrial Mathematics Institute, in 1996, he left university and became managing director of MathConsult GmbH, where he heads also the Computational Finance Group. Andreas has authored two introductory books on mathematical finance and 25 journal articles in the fields of industrial mathematics and of mathematical finance.

"Mathematical Finance needs both: a well-founded theory
based on stochastic calculus as well as numerical valuation schemes
that work. In A Workout in Computational Finance the authors
put emphasis on the numerical aspects and present an impressive
range of numerical methods. All these techniques have been
implemented by their group and can be used as a starting point for
building a professional software system."

--Walter Schachermayer, Full Professor for
Mathematical Finance, University of Vienna

"With their strong background in numerical simulation of
industrial problems, the authors succeed to develop the concepts of
different numerical schemes which are useful for computational
finance and essential for valuation, risk analysis and the risk
management of financial instruments. Especially in times of
difficult market environments, the mathematical and algorithmic
foundation of software used in banking must be a solid one which
avoids additional traps of poor implementation. A Workout in
Computational Finance gives clear recommendations for the
preferred numerical methods for various models and instruments. The
book will be utmost useful for practitioners but it also will be of
great interest for researchers in the field."

--Gerhard Larcher, Institute of Mathematical
Finance, Kepler Universität

"The authors cover a broad range of numerical techniques
for differential equations in computational finance, such as finite
elements, trees, Monte Carlo, Fourier techniques and parameter
calibration. Using sound, yet compact mathematical reasoning, they
capture the substance of models for interest rate and equity
derivatives, and provide hands-on guidance to numerics, covering
all sorts of practical challenges. A vast number of numerical
results illustrate potential implementation pitfalls and the
mitigation techniques presented. With its strong focus on tangible
usability this book is a highly valuable manual for students as
well as professionals."

--Robert Maringer, Head Valuation Control
Switzerland, Credit Suisse

"For shaping your body you should go to a gym, while for
building up your numerical toolkit you need a workout in
computational finance. This modern treatment of numerical methods
in quantitative finance addresses problems that professionals
working in the field face on a daily basis. The very clear
presentation of the material also makes it a perfect fit for
students having a background in the theory of mathematical finance
who want to gain insight on how practical problems are tackled in
the industry."

--Philipp Mayer, Financial Modeling, ING Financial
Markets, Brussels