Computational finance : a scientific perspective / Cornelis Albertus Los

Auteur principal : Los, Cornelis Albertus, 1951-, AuteurType de document : MonographieLangue : anglais.Pays: Singapour.Éditeur : Singapore : World Scientific Publishing, 2001Description : 294 p. ; 24 cmISBN: 9810244967.Sujet MSC : 91G50, Actuarial science and mathematical finance, Corporate finance (dividends, real options, etc.)
91-08, Computational methods for problems pertaining to game theory, economics, and finance
91B05, Mathematical economics, Risk models (general)
91B24, Mathematical economics, Microeconomic theory (price theory and economic markets)
91B16, Mathematical economics, Utility theory
Item type: Monographie
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91 LOS (Browse shelf(Opens below)) Available 00062-01

From the introduction: “The reason for this book is that, in academic and commercial research in financial economics, as well as in the growing fields of mathematical finance and computational finance, all current expositions start with philosophical assumptions, on the basis of which mathematical model philosophies are erected. Next, the real world data are then forced into these assumed abstract frameworks. This top-down process leads to model mis-specification, data inconsistencies, and model instability. Thus, it provides an unreliable foundation for informed financial decision-making. In contrast, this book follows the logic of the scientific method, which requires that we let the complete set of financial data speak for itself, without prejudice. Therefore, it critically re-examines most of the currently existing inexact and exact valuation models of financial instruments."

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