Handbooks in Operations Research and Management Science: Financial Engineering: Financial Engineering

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Handbooks in Operations Research and Management Science: Financial Engineering: Financial Engineering

By Birge, John R.; Linetsky, Vadim

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The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Subject: Mathematics & Statistics -> Mathematics -> Mathematics General

Handbooks in Operations Research and Management Science: Financial Engineering: Financial Engineering
Publisher: Elsevier S & T 11/2007
Imprint: Elsevier Science
Language: English
Length: 1026 pages

ISBN 10: 0444517812
ISBN 13: 9780444517814
Print ISBN: 9780444517814

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