Financial Application Development with Matlab

Author S. Krishnamurthy explores major aspects of MATLAB as a programming language, discussing key aspects of statistics and optimization toolboxes, financial and Econometrics Toolboxes, and data handling with databases and data sources ...

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Author: Krishnamurthy

Publisher: Wiley-Blackwell

ISBN: 1118455185

Category:

Page: 320

View: 499

Programming Languages and Systems in Computational Economics and Finance

This is done by generating snippets of GAMS code for output from MATLAB and included in GAMS via the $include Statement. McGoldrick [17] provides an excellent discussion on the rapid development of financial applications with emphasis ...

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Author: Soren Bo Nielsen

Publisher: Springer Science & Business Media

ISBN: 9781461510499

Category: Business & Economics

Page: 460

View: 929

The developments within the computationally and numerically oriented ar eas of Operations Research, Finance, Statistics and Economics have been sig nificant over the past few decades. Each area has been developing its own computer systems and languages that suit its needs, but there is relatively little cross-fertilization among them yet. This volume contains a collection of papers that each highlights a particular system, language, model or paradigm from one of the computational disciplines, aimed at researchers and practitioners from the other fields. The 15 papers cover a number of relevant topics: Models and Modelling in Operations Research and Economics, novel High-level and Object-Oriented approaches to programming, through advanced uses of Maple and MATLAB, and applications and solution of Differential Equations in Finance. It is hoped that the material in this volume will whet the reader's appetite for discovering and exploring new approaches to old problems, and in the longer run facilitate cross-fertilization among the fields. We would like to thank the contributing authors, the reviewers, the publisher, and last, but not least, Jesper Saxtorph, Anders Nielsen, and Thomas Stidsen for invaluable technical assistance.

Handbook of Computational Finance

The development of MATLAB (from “matrix laboratory”) was begun by Cleve Moler, then a professor of computer science ... Some examples that are relevant to financial applications are the Financial Toolbox, Financial Derivatives Toolbox, ...

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Author: Jin-Chuan Duan

Publisher: Springer Science & Business Media

ISBN: 3642172547

Category: Business & Economics

Page: 804

View: 428

Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Handbook of Technology in Financial Services

FINANCIAL APPLICATION DEVELOPMENT Company Name : The MathWorks , Inc. Address : 24 Prime Park Way , Natick , MA 01760 ... Based on MATLAB , the Workshop provides a common development platform for research , system design , and rapid ...

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Author: Jessica Keyes

Publisher: CRC Press

ISBN: 9781000065206

Category: Business & Economics

Page: 752

View: 715

The calculus of IT support for the banking, securities and insurance industries has changed dramatically and rapidly over the past few years. Unheard of just a few years ago, corporate intranets are now used for everything from job postings to enhanced team communications. Whole new departments are being created to support e-commerce. And the Inter

Financial Services Information Systems

Based on MATLAB, the Workshop provides a common development platform for research, system design, and rapid prototyping of financial applications. The Workshop provides, in a single, integrated and affordable package, all the tools you ...

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Author: Jessica Keyes

Publisher: CRC Press

ISBN: 9781135482534

Category: Computers

Page: 952

View: 540

The calculus of IT support for the banking, securities, and insurance industries has changed dramatically and rapidly over the past few years. Consolidation and deregulation are creating opportunities and challenges never before seen. Unheard of just a few years ago, e-commerce has given birth to new infrastructures and departments needed to support them. And the Internet/Intranet/Extranet triple-whammy is the most critical component of most financial IT shops. At the same time, new intelligent agents stand ready to take on such diverse functions as customer profiling and data mining. Get a handle on all these new and newer ripples with Financial Services Information Systems. Here, in this exhaustive new guide and reference book, industry guru Jessica Keyes gives you the no-nonsense scoop on not just the tried and true IT tools of today, but also the up-and-coming "hot" technologies of tomorrow, and how to plan for them. Financial Services Information Systems addresses challenges and solutions associated with: supporting the self-service revolution by servicing kiosks and ATMs efficiently and economically, straight-through processing for the securities industry, outsourcing business communications in the insurance industry, distributed integration as a cost-effective alternative to data warehousing, and putting inbound fax automation to work in financial organizations.

Banking Technology Handbook

FINANCIAL APPLICATION DEVELOPMENT Company Name : The MathWorks , Inc. Address : 24 Prime Park Way , Natick , MA 01760 ... Based on MATLAB , the Workshop provides a common development platform for research , system design , and rapid ...

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Author: Jessica Keyes

Publisher: CRC Press

ISBN: 0849399920

Category: Computers

Page: 640

View: 277

This desk reference for IT professionals in the banking industry provides information about the latest technologies to improve efficiency and security. Topics include imaging electronic exchange Internet-based technologies other automating systems issues affecting all financial service sectors, such as the year 2000 problem Banking Technology Handbook is geared toward all levels of technology management and financial services management responsible for developing and implementing cutting-edge technology.

Insurance Technology Handbook

FINANCIAL APPLICATION DEVELOPMENT Company Name : The MathWorks , Inc. Address : 24 Prime Park Way , Natick , MA 01760 ... Based on MATLAB , the Workshop provides a common development platform for research , system design , and rapid ...

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Author: Jessica Keyes

Publisher: CRC Press

ISBN: 0849399939

Category: Computers

Page: 592

View: 271

This desk reference for IT professionals in the insurance industry provides information about the latest technologies to improve efficiency and prediction. Topics include: imaging modeling management systems customer systems Internet commerce Issues affecting all financial service sectors, such as the year 2000 problem The Insurance Technology Handbook is geared toward all levels of technology management and financial services management responsible for developing and implementing cutting-edge technology.

An Introduction to Financial Markets

16.6.4 ADDITIONAL INTERFACES In order to develop an industrial application, we need to be able to instantiate an ... MATLAB offers a specific Datafeed Toolbox to connect with professional financial data providers including Thomson ...

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Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 9781118594667

Category: Mathematics

Page: 784

View: 612

COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by real-life cases and actual market structures, An Introduction to Financial Markets: A Quantitative Approach accentuates theory through quantitative modeling whenever and wherever necessary. It focuses on the lessons learned from timely subject matter such as the impact of the recent subprime mortgage storm, the collapse of LTCM, and the harsh criticism on risk management and innovative finance. The book also provides the necessary foundations in stochastic calculus and optimization, alongside financial modeling concepts that are illustrated with relevant and hands-on examples. An Introduction to Financial Markets: A Quantitative Approach starts with a complete overview of the subject matter. It then moves on to sections covering fixed income assets, equity portfolios, derivatives, and advanced optimization models. This book’s balanced and broad view of the state-of-the-art in financial decision-making helps provide readers with all the background and modeling tools needed to make “honest money” and, in the process, to become a sound professional. Stresses that gut feelings are not always sufficient and that “critical thinking” and real world applications are appropriate when dealing with complex social systems involving multiple players with conflicting incentives Features a related website that contains a solution manual for end-of-chapter problems Written in a modular style for tailored classroom use Bridges a gap for business and engineering students who are familiar with the problems involved, but are less familiar with the methodologies needed to make smart decisions An Introduction to Financial Markets: A Quantitative Approach offers a balance between the need to illustrate mathematics in action and the need to understand the real life context. It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engi­neering, decision science, and management science students.

Python for Finance

They like to use tools and environments like Matlab and R that allow for rapid, interactive application development. At this stage of the development efforts, issues like performance, stability, exception management, sepa‐ration of data ...

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Author: Yves Hilpisch

Publisher: "O'Reilly Media, Inc."

ISBN: 9781491945391

Category: Business & Economics

Page: 606

View: 201

The financial industry has adopted Python at a tremendous rate recently, with some of the largest investment banks and hedge funds using it to build core trading and risk management systems. This hands-on guide helps both developers and quantitative analysts get started with Python, and guides you through the most important aspects of using Python for quantitative finance. Using practical examples through the book, author Yves Hilpisch also shows you how to develop a full-fledged framework for Monte Carlo simulation-based derivatives and risk analytics, based on a large, realistic case study. Much of the book uses interactive IPython Notebooks, with topics that include: Fundamentals: Python data structures, NumPy array handling, time series analysis with pandas, visualization with matplotlib, high performance I/O operations with PyTables, date/time information handling, and selected best practices Financial topics: mathematical techniques with NumPy, SciPy and SymPy such as regression and optimization; stochastics for Monte Carlo simulation, Value-at-Risk, and Credit-Value-at-Risk calculations; statistics for normality tests, mean-variance portfolio optimization, principal component analysis (PCA), and Bayesian regression Special topics: performance Python for financial algorithms, such as vectorization and parallelization, integrating Python with Excel, and building financial applications based on Web technologies

Encyclopedia of Financial Models

DESSISLAVA A. PACHAMANOVA, PhD efficient and useful for the financial modeler. MATLAB is an interactive computing environment for model development that also enables data visualization, data analysis, and numerical simulation.

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Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9781118539903

Category: Business & Economics

Page: 736

View: 439

Volume 3 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.