ENGLISH

Handbook of Computational Finance

By James E. Gentle , Wolfgang Karl Härdle , Jin-Chuan Duan , Wolfgang Karl Härdle (auth.) , James E. Gentle (eds.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2012
ISBN
3642172539, 9783642172533
DOI
10.1007/978-3-642-17254-0
Google Books ID
PAAAhBkeFcQC
Open Library ID
OL25205881M
Language
english
Format
PDF
Filesize
11 MB (11084155 bytes)
Series
Springer Handbooks of Computational Statistics
Edition
1
Pages
804\817
Orientation
yes
Scanned
no
Time added
2012-03-09 12:00:00
Statistics for Business/Economics/Mathematical Fin

Description

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.

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