Books in Mathematical and quantitative methods

Handbook of Experimental Economics Results

1st Edition
Volume 1
August 15, 2008
Charles R. Plott + 1 more
English
Hardback
9 7 8 0 4 4 4 8 2 6 4 2 8
eBook
9 7 8 0 0 8 0 8 8 7 9 6 8

Experimental methods in economics respond to circumstances that are not completely dictated by accepted theory or outstanding problems. While the field of economics makes sharp distinctions and produces precise theory, the work of experimental economics sometimes appear blurred and may produce results that vary from strong support to little or partial support of the relevant theory. At a recent conference, a question was asked about where experimental methods might be more useful than field methods. Although many cannot be answered by experimental methods, there are questions that can only be answered by experiments. Much of the progress of experimental methods involves the posing of old or new questions in a way that experimental methods can be applied. The title of the book reflects the spirit of adventure that experimentalists share and focuses on experiments in general rather than forcing an organization into traditional categories that do not fit. The emphasis reflects the fact that the results do not necessarily demonstrate a consistent theme, but instead reflect bits and pieces of progress as opportunities to pose questions become recognized. This book is a result of an invitation sent from the editors to a broad range of experimenters asking them to write brief notes describing specific experimental results. The challenge was to produce pictures and tables that were self-contained so the reader could understand quickly the essential nature of the experiments and the results.

Computational Finance Using C and C#

1st Edition
May 1, 2008
George Levy
English
eBook
9 7 8 0 0 8 0 8 7 8 0 7 2

Computational Finance Using C and C# raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm’s internal software and code requirements. The book also provides derivatives pricing information for equity derivates (vanilla options, quantos, generic equity basket options); interest rate derivatives (FRAs, swaps, quantos); foreign exchange derivatives (FX forwards, FX options); and credit derivatives (credit default swaps, defaultable bonds, total return swaps).This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals.This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance.

Handbook of Econometrics

1st Edition
Volume 6B
December 14, 2007
James J. Heckman + 1 more
English
Hardback
9 7 8 0 4 4 4 5 3 2 0 0 8
eBook
9 7 8 0 0 8 0 5 5 6 5 5 0

As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice behavior and social interactions. All of the essays in this volume and its companion volume 6A offer guidance to the practitioner on how to apply the methods they discuss to interpret economic data. The authors of the chapters are all leading scholars in the fields they survey and extend.Handbook of Econometrics is now available online at ScienceDirect — full-text online from volume 1 onwards.

Building Automated Trading Systems

1st Edition
March 7, 2007
Benjamin Van Vliet
English
Hardback
9 7 8 0 7 5 0 6 8 2 5 1 0
eBook
9 7 8 0 0 8 0 4 7 6 2 5 4

Over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution systems. Indeed, this is already happening. While several finance books provide C++ code for pricing derivatives and performing numerical calculations, none approaches the topic from a system design perspective. This book will be divided into two sections: programming techniques and automated trading system ( ATS ) technology and teach financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. MS Visual C++.NET 2005 has been chosen as the implementation language primarily because most trading firms and large banks have developed and continue to develop their proprietary algorithms in ISO C++ and Visual C++.NET provides the greatest flexibility for incorporating these legacy algorithms into working systems. Furthermore, the .NET Framework and development environment provide the best libraries and tools for rapid development of trading systems. The first section of the book explains Visual C++.NET 2005 in detail and focuses on the required programming knowledge for automated trading system development, including object oriented design, delegates and events, enumerations, random number generation, timing and timer objects, and data management with STL.NET and .NET collections. Furthermore, since most legacy code and modeling code in the financial markets is done in ISO C++, this book looks in depth at several advanced topics relating to managed/unmanaged/CO... memory management and interoperability. Further, this book provides dozens of examples illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL and FIX and XML/FIXML. Advanced programming topics such as threading, sockets, as well as using C++.NET to connect to Excel are also discussed at length and supported by examples. The second section of the book explains technological concerns and design concepts for automated trading systems. Specifically, chapters are devoted to handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management. A .dll is included in the book that will emulate connection to a widely used industry API ( Trading Technologies, Inc.’s XTAPI ) and provide ways to test position and order management algorithms. Design patterns are presented for market taking systems based upon technical analysis as well as for market making systems using intermarket spreads. As all of the chapters revolve around computer programming for financial engineering and trading system development, this book will educate traders, financial engineers, quantitative analysts, students of quantitative finance and even experienced programmers on technological issues that revolve around development of financial applications in a Microsoft environment and the construction and implementation of real-time trading systems and tools.

Handbook of Computational Economics

1st Edition
Volume 2
May 15, 2006
Leigh Tesfatsion + 1 more
English
Hardback
9 7 8 0 4 4 4 5 1 2 5 3 6
eBook
9 7 8 0 0 8 0 4 5 9 8 7 5

The explosive growth in computational power over the past several decades offers new tools and opportunities for economists. This handbook volume surveys recent research on Agent-based Computational Economics (ACE), the computational study of economic processes modeled as dynamic systems of interacting agents. Empirical referents for "agents" in ACE models can range from individuals or social groups with learning capabilities to physical world features with no cognitive function. Topics covered include: learning; empirical validation; network economics; social dynamics; financial markets; innovation and technological change; organizations; market design; automated markets and trading agents; political economy; social-ecological systems; computational laboratory development; and general methodological issues.

The Nuts and Bolts of Proofs

3rd Edition
August 1, 2005
Antonella Cupillari
English
eBook
9 7 8 0 0 8 0 5 3 7 9 0 0

The Nuts and Bolts of Proof instructs students on the basic logic of mathematical proofs, showing how and why proofs of mathematical statements work. It provides them with techniques they can use to gain an inside view of the subject, reach other results, remember results more easily, or rederive them if the results are forgotten.A flow chart graphically demonstrates the basic steps in the construction of any proof and numerous examples illustrate the method and detail necessary to prove various kinds of theorems.

Quantitative Finance for Physicists

1st Edition
December 10, 2004
Anatoly B. Schmidt
English
eBook
9 7 8 0 0 8 0 4 9 2 2 0 9

With more and more physicists and physics students exploring the possibility of utilizing their advanced math skills for a career in the finance industry, this much-needed book quickly introduces them to fundamental and advanced finance principles and methods. Quantitative Finance for Physicists provides a short, straightforward introduction for those who already have a background in physics. Find out how fractals, scaling, chaos, and other physics concepts are useful in analyzing financial time series. Learn about key topics in quantitative finance such as option pricing, portfolio management, and risk measurement. This book provides the basic knowledge in finance required to enable readers with physics backgrounds to move successfully into the financial industry.

Supply Chain Management

1st Edition
Volume 11
December 5, 2003
Dekok
English
Hardback
9 7 8 0 4 4 4 5 1 3 2 8 1

This handbook contains chapters covering a broad range of supply chain management issues written by leading experts in the field. It is aimed at researchers, students, engineers, economists and managers involved in supply chain management.

An Introduction to High-Frequency Finance

1st Edition
April 30, 2001
Ramazan Gençay + 4 more
English
Hardback
9 7 8 0 1 2 2 7 9 6 7 1 5
eBook
9 7 8 0 0 8 0 4 9 9 0 4 8

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

Data Reconciliation and Gross Error Detection

1st Edition
November 29, 1999
Shankar Narasimhan + 1 more
English
eBook
9 7 8 0 0 8 0 5 0 3 7 1 4

This book provides a systematic and comprehensive treatment of the variety of methods available for applying data reconciliation techniques. Data filtering, data compression and the impact of measurement selection on data reconciliation are also exhaustively explained.Data errors can cause big problems in any process plant or refinery. Process measurements can be correupted by power supply flucutations, network transmission and signla conversion noise, analog input filtering, changes in ambient conditions, instrument malfunctioning, miscalibration, and the wear and corrosion of sensors, among other factors. Here's a book that helps you detect, analyze, solve, and avoid the data acquisition problems that can rob plants of peak performance. This indispensable volume provides crucial insights into data reconciliation and gorss error detection techniques that are essential fro optimal process control and information systems. This book is an invaluable tool for engineers and managers faced with the selection and implementation of data reconciliation software, or for those developing such software. For industrial personnel and students, Data Reconciliation and Gross Error Detection is the ultimate reference.

Related subjects

Data collection and data estimation methodology computer programs

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Econometric modeling

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Mathematical and quantitative methods design of experiments

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