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Computational Finance
Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.Rüdiger U. Seydel, ''Tools for Computational Finance'', Springer; 3rd edition (May 11, 2006) 978-3540279235 Some slightly different definitions are the study of data and algorithms currently used in finance and the mathematics of computer programs that realize financial mathematical model, models or systems.Cornelis A. Los, ''Computational Finance'' World Scientific Pub Co Inc (December 2000) Computational finance emphasizes practical numerical analysis, numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economics, economic analyses.Mario J. Miranda and Paul L. Fackler, ''Applied Computational Economics and Finance'', The MIT Press (September 16, 2002) It is an interdisciplinary field between mathematical finance and numerical analysis, numerical methods.Omur Ugur, ''Introduction to Computational Finance'', Imper ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Random Walk Example
In common usage, randomness is the apparent or actual lack of definite pattern or predictability in information. A random sequence of events, symbols or steps often has no :wikt:order, order and does not follow an intelligible pattern or combination. Individual random events are, by definition, unpredictable, but if there is a known probability distribution, the frequency of different outcomes over repeated events (or "trials") is predictable.Strictly speaking, the frequency of an outcome will converge almost surely to a predictable value as the number of trials becomes arbitrarily large. Non-convergence or convergence to a different value is possible, but has probability zero. Consistent non-convergence is thus evidence of the lack of a fixed probability distribution, as in many evolutionary processes. For example, when throwing two dice, the outcome of any particular roll is unpredictable, but a sum of 7 will tend to occur twice as often as 4. In this view, randomness is no ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Harry Markowitz
Harry Max Markowitz (August 24, 1927 – June 22, 2023) was an American economist who received the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences. Markowitz was a professor of finance at the Rady School of Management at the University of California, San Diego (UCSD). He is best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, return, correlation and diversification on probable investment portfolio returns. Biography Harry Markowitz was born to a Jewish family, the son of Morris and Mildred Markowitz.Harry M. Markowitz �Autobiography The Nobel Prizes 1990, Editor Tore Frängsmyr, obel Foundation Stockholm, 1991 During high school, Markowitz developed an interest in physics and philosophy, in particular the ideas of David Hume, an interest he continued to follow during his undergraduate years at the University of Chicago. After receiving his Ph.B. in Liberal Arts, Markowitz decided t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Wall Street
Wall Street is a street in the Financial District, Manhattan, Financial District of Lower Manhattan in New York City. It runs eight city blocks between Broadway (Manhattan), Broadway in the west and South Street (Manhattan), South Street and the East River in the east with a length of just under 2,000 feet. The term "Wall Street" has become a Metonymy, metonym for the financial markets of the United States as a whole, the Financial services in the United States, American financial services industry, New York–based financial interests, or the Financial District. Anchored by Wall Street, New York has been described as the world's principal fintech and financial center. The street was originally known in Dutch language, Dutch as ''Het Cingel'' ("the Belt") when it was part of New Amsterdam during the 17th century. An actual city wall existed on the street from 1653 to 1699. During the 18th century, the location served as a slave market and Security (finance), securities ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Quantitative Analyst
Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations. The occupation is similar to those in industrial mathematics in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns (trend following or reversion). Although the original quantitative analysts were "sell side quants" from market maker firms, concerned with derivatives pricing and risk management, the meaning of the term has expanded over time to include those individuals involved in almost any application of mathematical finance, including the buy side. Applied quantitative analysis is commonly associated with quantitative investment m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Securitization
Securitization is the financial practice of pooling various types of contractual debt such as residential mortgages, commercial mortgages, auto loans, or credit card debt obligations (or other non-debt assets which generate receivables) and selling their related cash flows to third party investors as securities, which may be described as bonds, pass-through securities, or collateralized debt obligations (CDOs). Investors are repaid from the principal and interest cash flows collected from the underlying debt and redistributed through the capital structure of the new financing. Securities backed by mortgage receivables are called mortgage-backed securities (MBS), while those backed by other types of receivables are asset-backed securities (ABS). The granularity of pools of securitized assets can mitigate the credit risk of individual borrowers. Unlike general corporate debt, the credit quality of securitized debt is non- stationary due to changes in volatility that are time ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mortgage Loan
A mortgage loan or simply mortgage (), in civil law (legal system), civil law jurisdictions known also as a hypothec loan, is a loan used either by purchasers of real property to raise funds to buy real estate, or by existing property owners to raise funds for any purpose while putting a lien on the property being mortgaged. The loan is "collateral (finance), secured" on the borrower's property through a process known as mortgage origination. This means that a Mortgage law, legal mechanism is put into place which allows the lender to take possession and sell the secured property ("foreclosure" or "repossession") to pay off the loan in the event the borrower defaults on the loan or otherwise fails to abide by its terms. The word ''mortgage'' is derived from a Law French term used in Legal professions in England and Wales, Britain in the Middle Ages meaning "death pledge" and refers to the pledge ending (dying) when either the obligation is fulfilled or the property is taken throu ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Valuation Of Options
In finance, a price (premium) is paid or received for purchasing or selling options. The calculation of this premium will require sophisticated mathematics. Premium components This price can be split into two components: intrinsic value, and time value (also called "extrinsic value"). Intrinsic value The ''intrinsic value'' is the difference between the underlying spot price and the strike price, to the extent that this is in favor of the option holder. For a call option, the option is in-the-money if the underlying spot price is higher than the strike price; then the intrinsic value is the underlying price minus the strike price. For a put option, the option is in-the-money if the ''strike'' price is higher than the underlying spot price; then the intrinsic value is the strike price minus the underlying spot price. Otherwise the intrinsic value is zero. For example, when a DJI call (bullish/long) option is 18,000 and the underlying DJI Index is priced at $18,050 then the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Efficient-market Hypothesis
The efficient-market hypothesis (EMH) is a hypothesis in financial economics that states that asset prices reflect all available information. A direct implication is that it is impossible to "beat the market" consistently on a risk-adjusted basis since market prices should only react to new information. Because the EMH is formulated in terms of risk adjustment, it only makes testable predictions when coupled with a particular model of risk. As a result, research in financial economics since at least the 1990s has focused on market anomalies, that is, deviations from specific models of risk. The idea that financial market returns are difficult to predict goes back to Bachelier, Mandelbrot, and Samuelson, but is closely associated with Eugene Fama, in part due to his influential 1970 review of the theoretical and empirical research. The EMH provides the basic logic for modern risk-based theories of asset prices, and frameworks such as consumption-based asset pricing and int ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Eugene Fama
Eugene Francis "Gene" Fama (; born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis. He is currently Robert R. McCormick Distinguished Service Professor of Finance at the University of Chicago Booth School of Business. In 2013, he shared the Nobel Memorial Prize in Economic Sciences jointly with Robert J. Shiller and Lars Peter Hansen. The Research Papers in Economics project ranked him as the 9th-most influential economist of all time based on his academic contributions, . He is regarded as "the father of modern finance", as his works built the foundation of financial economics and have been cited widely. Early life and undergraduate education Fama was born in Boston, Massachusetts, the son of Angelina (née Sarraceno) and Francis Fama. All of his grandparents were immigrants from Italy. Fama is a Malden Catholic High School Athletic Hall of Fame honoree. He earned his unde ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Arbitrage
Arbitrage (, ) is the practice of taking advantage of a difference in prices in two or more marketsstriking a combination of matching deals to capitalize on the difference, the profit being the difference between the market prices at which the unit is traded. Arbitrage has the effect of causing prices of the same or very similar assets in different markets to converge. When used by academics in economics, an arbitrage is a transaction that involves no negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state; in simple terms, it is the possibility of a risk-free profit after transaction costs. For example, an arbitrage opportunity is present when there is the possibility to instantaneously buy something for a low price and sell it for a higher price. In principle and in academic use, an arbitrage is risk-free; in common use, as in statistical arbitrage, it may refer to ''expected'' profit, though losses may occur, and in practic ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Robert C
The name Robert is an ancient Germanic given name, from Proto-Germanic "fame" and "bright" (''Hrōþiberhtaz''). Compare Old Dutch ''Robrecht'' and Old High German ''Hrodebert'' (a compound of '' Hruod'' () "fame, glory, honour, praise, renown, godlike" and ''berht'' "bright, light, shining"). It is the second most frequently used given name of ancient Germanic origin.Reaney & Wilson, 1997. ''Dictionary of English Surnames''. Oxford University Press. It is also in use as a surname. Another commonly used form of the name is Rupert. After becoming widely used in Continental Europe, the name entered England in its Old French form ''Robert'', where an Old English cognate form (''Hrēodbēorht'', ''Hrodberht'', ''Hrēodbēorð'', ''Hrœdbœrð'', ''Hrœdberð'', ''Hrōðberχtŕ'') had existed before the Norman Conquest. The feminine version is Roberta. The Italian, Portuguese, and Spanish form is Roberto. Robert is also a common name in many Germanic languages, including En ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Paul Samuelson
Paul Anthony Samuelson (May 15, 1915 – December 13, 2009) was an American economist who was the first American to win the Nobel Memorial Prize in Economic Sciences. When awarding the prize in 1970, the Swedish Royal Academies stated that he "has done more than any other contemporary economist to raise the level of scientific analysis in economic theory". "In a career that spanned seven decades, he transformed his field, influenced millions of students and turned MIT into an economics powerhouse" Samuelson was one of the most influential economists of the latter half of the 20th century."Paul Samuelson: The last of the great general economists died on December 13th, aged 94" ''The Economist'', December 17, 2009 In 1996, he was awarded the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
