Handbook of Computational Finance

Introduction.- Pricing Models.- Statistical Inference in Financial Models.- Computational Methods.- Software Tools.- Possible further Topics: Realized Volatility/High Frequency Data.-Microstructure Empirical Analysis.- Option Pricing.- GARCH and Diffusion Jump Limits.- Interest Rate Derivatives.

Jin-Chuan DUAN Director of Risk Management Institute &Cycle & Carriage Professor of Finance National University of SingaporeJames Gentle University Professor of Computational StatisticsHis appointment at George Mason is in the Computational and Data Sciences Department of the College of Science.His interests include statistical computing, computational statistics, simulation, robust statistics, survey sampling, and computational finance. His interests in survey sampling include optimal design, calibration, and imputation. His interests in financial applications center primarily on the pricing of derivatives. James Genlte active in the American Statistical Association, especially the Statistical Computing Section and the Statistical Graphics Section. He is the Past Chair of the Graphics Section, and has held all of the offices of the Statistical Computing Section over the past quarter century. He is also on the council of the International Association for Statistical Computing. Wolfgang Karl Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. - the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.

From the reviews:"This handbook provides a carefully chosen survey of the concepts and methods of computational finance, ranging from basic background material through the current frontier of research ... . This handbook is an authoritative and valuable account of an important field. I am sure that it will be an important reference source for researchers and practitioners." (Lasse Koskinen, International Statistical Review, Vol. 81 (3), 2014)