Information about Computational Finance
Computational finance or financial engineering is a cross-disciplinary field which relies on mathematical finance, numerical methods and computer simulations to make trading, hedging and investment decisions, as well as facilitating the risk management of those decisions. Utilizing various methods, practitioners of computational finance aim to precisely determine the financial risk that certain financial instruments create.
Computational finance was traditionally populated by Ph.Ds in finance, physics and mathematics who moved into the field from more pure, academic backgrounds (either directly from graduate school, or after teaching or research). However, as the actual use of computers has become essential to rapidly carrying out computational finance decisions, a background in computer programming has become useful, and hence many computer programmers enter the field either from Ph.D. programs or from other fields of software engineering. Praticioners of computational finance have come from the fields of signals processing and computational fluid dynamics.
Masters level degree holders are also increasingly making their presence felt as more terminal programs become available at the leading schools. Today, all full service institutional finance firms employ computational finance professionals in their banking and finance operations (as opposed to being ancillary information technology specialists), while there are many other boutique firms ranging from 20 or fewer employees to several thousand that specialize in quantitative trading alone. JPMorgan Chase & Co. was one of the first firms to create a large derivatives business and employ computational finance, (including through the formation of RiskMetrics), while D. E. Shaw & Co. is probably the oldest and largest quant fund (Citadel Investment Group is a major rival).
Doctor of Philosophy, abbreviated Ph.D.
..... Click the link for more information.
Areas of application
Areas where computational finance techniques are employed include:- Investment banking
- Risk Management software
- Corporate strategic planning
- Securities trading and financial risk management
- Derivatives trading and risk management
- Investment management
Major contributors
Some major contributors to computational finance include: Generally, individuals who fill positions in computational finance are known as “quants”, referring to the quantitative skills necessary to perform the job. Specifically, knowledge of the C++ programming language, as well as of the mathematical subfields of: stochastic calculus, multivariate calculus, linear algebra, differential equations , probability theory and statistical inference are often entry level requisites for such a position. C++ has become the dominant language for two main reasons: the computationally intensive nature of many algorithms, and the focus on libraries rather than applications.Computational finance was traditionally populated by Ph.Ds in finance, physics and mathematics who moved into the field from more pure, academic backgrounds (either directly from graduate school, or after teaching or research). However, as the actual use of computers has become essential to rapidly carrying out computational finance decisions, a background in computer programming has become useful, and hence many computer programmers enter the field either from Ph.D. programs or from other fields of software engineering. Praticioners of computational finance have come from the fields of signals processing and computational fluid dynamics.
Masters level degree holders are also increasingly making their presence felt as more terminal programs become available at the leading schools. Today, all full service institutional finance firms employ computational finance professionals in their banking and finance operations (as opposed to being ancillary information technology specialists), while there are many other boutique firms ranging from 20 or fewer employees to several thousand that specialize in quantitative trading alone. JPMorgan Chase & Co. was one of the first firms to create a large derivatives business and employ computational finance, (including through the formation of RiskMetrics), while D. E. Shaw & Co. is probably the oldest and largest quant fund (Citadel Investment Group is a major rival).
See also
External links
- An Introduction to Computational Finance without Agonizing Pain
- Introduction to Computational Finance, IEEE Computational Intelligence Society Newsletter, August 2004
- Numerical Techniques for Options
- Monte Carlo Simulation of Stochastic Processes
General areas of finance |
|---|
| Financial markets • Investment management • Financial institutions • Personal finance • Public finance • Mathematical finance • Financial economics • Experimental finance • Computational finance |
Mathematical finance is the branch of applied mathematics concerned with the financial markets.
The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory.
..... Click the link for more information.
The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory.
..... Click the link for more information.
Numerical analysis is the study of algorithms for the problems of continuous mathematics (as distinguished from discrete mathematics).
One of the earliest mathematical writing is the Babylonian tablet YBC 7289, which gives a sexagesimal numerical approximation of ,
..... Click the link for more information.
One of the earliest mathematical writing is the Babylonian tablet YBC 7289, which gives a sexagesimal numerical approximation of ,
..... Click the link for more information.
computer simulation, a computer model or a computational model is a computer program that attempts to simulate an abstract model of a particular system. Computer simulations have become a useful part of mathematical modelling of many natural systems in physics
..... Click the link for more information.
..... Click the link for more information.
Trading can refer to:
..... Click the link for more information.
- Trade, the voluntary exchange of goods, services, or both
- International trade, importing and exporting
- Trader (finance), a buyer and seller of financial instruments
See also
..... Click the link for more information.
In finance, a hedge is an investment that is taken out specifically to reduce or cancel out the risk in another investment. Hedging is a strategy designed to minimize exposure to an unwanted business risk, while still allowing the business to profit from an investment
..... Click the link for more information.
..... Click the link for more information.
Investment or investing[1] is a term with several closely-related meanings in business management, finance and economics, related to saving or deferring consumption.
..... Click the link for more information.
..... Click the link for more information.
Risk management is the human activity which integrates recognition of risk, risk assessment, developing strategies to manage it, and mitigation of risk using managerial resources.
..... Click the link for more information.
..... Click the link for more information.
In essence financial risk is any risk associated with money.
A common concern with any investment is that you may lose the money you invest - your capital.
..... Click the link for more information.
Investment related
Depending on the nature of the investment, the type of 'investment' risk will vary.A common concern with any investment is that you may lose the money you invest - your capital.
..... Click the link for more information.
Financial instruments is a term used to denote any form of funding medium - mostly those used for borrowing in money markets, e. g. bills of exchange, bonds, etc. (Ref: [1] )
..... Click the link for more information.
Categorization
..... Click the link for more information.
Investment banks help companies and governments (or their agencies) raise money by issuing and selling securities in the capital markets (both equity and debt).
Almost all investment banks also offer strategic advisory services for mergers, acquisitions, divestiture or other
..... Click the link for more information.
Almost all investment banks also offer strategic advisory services for mergers, acquisitions, divestiture or other
..... Click the link for more information.
Computer software is a general term used to describe a collection of computer programs, procedures and documentation that perform some task on a computer system. [1]
..... Click the link for more information.
..... Click the link for more information.
Strategic planning is an organization's process of defining its strategy, or direction, and making decisions on allocating its resources to pursue this strategy, including its capital and people.
..... Click the link for more information.
..... Click the link for more information.
security is a fungible, negotiable instrument representing financial value. Securities are broadly categorized into debt securities, such as bonds and debentures, and equity securities, e.g. common stocks. The company or other entity issuing the security is called the issuer.
..... Click the link for more information.
..... Click the link for more information.
Trading can refer to:
..... Click the link for more information.
- Trade, the voluntary exchange of goods, services, or both
- International trade, importing and exporting
- Trader (finance), a buyer and seller of financial instruments
See also
..... Click the link for more information.
Financial risk management is the practice of creating economic value in a firm by using financial instruments to manage exposure to risk, particularly Credit risk and market risk.
..... Click the link for more information.
..... Click the link for more information.
Derivatives are financial instruments whose value is derived from the value of something else. They generally take the form of contracts under which the parties agree to payments between them based upon the value of an underlying asset or other data at a particular point in time.
..... Click the link for more information.
..... Click the link for more information.
Investment management is the professional management of various securities (shares, bonds etc) assets (e.g. real estate), to meet specified investment goals for the benefit of the investors. Investors may be institutions (insurance companies, pension funds, corporations etc.
..... Click the link for more information.
..... Click the link for more information.
Harry Markowitz
Born July 24 1927
Chicago
Residence U.S.
Nationality U.S.
..... Click the link for more information.
Born July 24 1927
Chicago
Residence U.S.
Nationality U.S.
..... Click the link for more information.
Myron Samuel Scholes (born July 1, 1941 in Timmins, Ontario, Canada) is one of the authors of the famous Black-Scholes equation.
..... Click the link for more information.
Nobel Prize Winner
In 1997 he was awarded the Nobel Memorial Prize in Economics for "a new method to determine the value of derivatives"...... Click the link for more information.
Robert C. Merton
Robert C. Merton, 2006
Born July 31 1944
New York
Residence U.
..... Click the link for more information.
Robert C. Merton, 2006
Born July 31 1944
New York
Residence U.
..... Click the link for more information.
Fischer Black
Born January 11 1938
Georgetown, U.S.
Died July 30 1995 (aged 57)
New York, U.S.
Residence U.S.
..... Click the link for more information.
Born January 11 1938
Georgetown, U.S.
Died July 30 1995 (aged 57)
New York, U.S.
Residence U.S.
..... Click the link for more information.
quantitative analyst is a person who works in the financial markets developing and implementing mathematical models to assist the activities of traders and risk managers within investment banks, hedge funds and other financial institutions.
..... Click the link for more information.
..... Click the link for more information.
C++
Paradigm: Multi-paradigm
Appeared in: 1983
Designed by: Bjarne Stroustrup
Typing discipline: Static, unsafe, nominative
Major implementations: G++, Microsoft Visual C++, Borland C++ Builder
Dialects: ISO/IEC C++ 1998, ISO/IEC C++ 2003
..... Click the link for more information.
Paradigm: Multi-paradigm
Appeared in: 1983
Designed by: Bjarne Stroustrup
Typing discipline: Static, unsafe, nominative
Major implementations: G++, Microsoft Visual C++, Borland C++ Builder
Dialects: ISO/IEC C++ 1998, ISO/IEC C++ 2003
..... Click the link for more information.
Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly.
..... Click the link for more information.
..... Click the link for more information.
Multivariable calculus is the extension of calculus in one variable to calculus in several variables: the functions which are differentiated and integrated involve several variables rather than one variable.
..... Click the link for more information.
..... Click the link for more information.
Linear algebra is the branch of mathematics concerned with the study of vectors, vector spaces (also called linear spaces), linear maps (also called linear transformations), and systems of linear equations.
..... Click the link for more information.
..... Click the link for more information.
differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and of its derivatives of various orders.
..... Click the link for more information.
..... Click the link for more information.
Probability theory is the branch of mathematics concerned with analysis of random phenomena.[1] The central objects of probability theory are random variables, stochastic processes, and events: mathematical abstractions of non-deterministic events or measured quantities
..... Click the link for more information.
..... Click the link for more information.
Inferential statistics or statistical induction comprises the use of statistics to make inferences concerning some unknown aspect of a population. It is distinguished from descriptive statistics.
..... Click the link for more information.
..... Click the link for more information.
worldwide view of the subject.
Please [ improve this article] or discuss the issue on the talk page.
Please [ improve this article] or discuss the issue on the talk page.
- "Ph.D." redirects here, for other uses see Ph.D. (disambiguation).
Doctor of Philosophy, abbreviated Ph.D.
..... Click the link for more information.
This article is copied from an article on Wikipedia.org - the free encyclopedia created and edited by online user community. The text was not checked or edited by anyone on our staff. Although the vast majority of the wikipedia encyclopedia articles provide accurate and timely information please do not assume the accuracy of any particular article. This article is distributed under the terms of GNU Free Documentation License.
Herod_Archelaus
