Useful as a professional reference as well as for students, this handbook gives new and relevant numerical methods for the solution of practical problems in finance. In a collection of 15
articles contributors describe coherent measures of risk in everyday market practice, high-dimensional American option pricing using local consistency conditions, adverse inter-risk
diversification effects, counter-party risk pricing, optimal dynamic asset allocation for pension plans, software development for the numerical simulation of life insurance policies, numerical
methods for pricing interest rate "swaptions," a method for recovering an asset's risk-neutral PDF, intra-day data as a means of forecasting daily volatility, affine point processes in pricing
credit from the top down, performance-dependent options in a Black-Scholes framework, multilevel Monte Carlo path calculations that reduce variance, value at risk and self-similarity,
uncertainty in estimations of the CIR term-structure model, and a new tool for discovering arbitrage opportunities. Annotation 穢2008 Book News, Inc., Portland, OR (booknews.com)
