Majosta Computational Financial Engineering & Applications

Computational Financial Engineering & Applications, a compendium of years of research including at Massachusetts Institute of Technology, describes the mathematics, theory and concepts underlying the core elements of financial engineering. It discusses stochastics, advances in applied probability theory, and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications described in it bring together a full-spectrum of methods and techniques. Applications are illustrated using real-world examples. It addresses theoretical, applied, and cutting edge issues in the fields of operations research, statistics, analytics, machine learning, and data science. The book assumes fluency in calculus, statistical analysis, probability, stochastic processes and a general understanding of financial instruments and trading strategies. It is meant for financial engineers, quantitative analysts in hedge funds, graduate students in financial engineering and financial mathematics programs. • Predictive Signals for Asset Performance • Change in Excess Inventory Modelling • FX Modeling • Econometrics for International Equities • Modeling Term Structure of Interest Rates • Forecasting Currency Volatility • Volatility Clusters and Regime Switching • Dynamic Factor Sensitivities • Stochastic Volatility • Portfolio Optimization • Multivariate Modeling • Modeling Momentum • Modeling OTC Options and Instruments • Modeling Voids