Evolutionary Algorithms and Computational Methods for Derivatives Pricing
Title | Evolutionary Algorithms and Computational Methods for Derivatives Pricing PDF eBook |
Author | Samuel Palmer |
Publisher | |
Pages | 0 |
Release | 2019 |
Genre | |
ISBN |
This work aims to provide novel computational solutions to the problem of derivative pricing. To achieve this, a novel hybrid evolutionary algorithm (EA) based on particle swarm optimisation (PSO) and differential evolution (DE) is introduced and applied, along with various other state-of-the-art variants of PSO and DE, to the problem of calibrating the Heston stochastic volatility model. It is found that state-of-the-art DEs provide excellent calibration performance, and that previous use of rudimentary DEs in the literature undervalued the use of these methods. The use of neural networks with EAs for approximating the solution to derivatives pricing models is next investigated. A set of neural networks are trained from Monte Carlo (MC) simulation data to approximate the closed form solution for European, Asian and American style options. The results are comparable to MC pricing, but with offline evaluation of the price using the neural networks being orders of magnitudes faster and computationally more efficient. Finally, the use of custom hardware for numerical pricing of derivatives is introduced. The solver presented here provides an energy efficient data-flow implementation for pricing derivatives, which has the potential to be incorporated into larger high-speed/low energy trading systems.
Evolutionary Algorithms and Computational Mmthods for Derivatives Pricing
Title | Evolutionary Algorithms and Computational Mmthods for Derivatives Pricing PDF eBook |
Author | Samuel Palmer |
Publisher | |
Pages | 306 |
Release | 2019 |
Genre | |
ISBN |
EVOLVE - A Bridge between Probability, Set Oriented Numerics, and Evolutionary Computation VI
Title | EVOLVE - A Bridge between Probability, Set Oriented Numerics, and Evolutionary Computation VI PDF eBook |
Author | Alexandru-Adrian Tantar |
Publisher | Springer |
Pages | 233 |
Release | 2017-11-09 |
Genre | Technology & Engineering |
ISBN | 3319697102 |
This book comprises selected research papers from the 2015 edition of the EVOLVE conference, which was held on June 18–June 24, 2015 in Iași, Romania. It presents the latest research on Probability, Set Oriented Numerics, and Evolutionary Computation. The aim of the EVOLVE conference was to provide a bridge between probability, set oriented numerics and evolutionary computation and to bring together experts from these disciplines. The broad focus of the EVOLVE conference made it possible to discuss the connection between these related fields of study computational science. The selected papers published in the proceedings book were peer reviewed by an international committee of reviewers (at least three reviews per paper) and were revised and enhanced by the authors after the conference. The contributions are categorized into five major parts, which are: Multicriteria and Set-Oriented Optimization; Evolution in ICT Security; Computational Game Theory; Theory on Evolutionary Computation; Applications of Evolutionary Algorithms. The 2015 edition shows a major progress in the aim to bring disciplines together and the research on a number of topics that have been discussed in previous editions of the conference matured over time and methods have found their ways in applications. In this sense the book can be considered an important milestone in bridging and thereby advancing state-of-the-art computational methods.
Genetic Algorithms and Genetic Programming in Computational Finance
Title | Genetic Algorithms and Genetic Programming in Computational Finance PDF eBook |
Author | Shu-Heng Chen |
Publisher | Springer Science & Business Media |
Pages | 491 |
Release | 2012-12-06 |
Genre | Business & Economics |
ISBN | 1461508355 |
After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.
Computational Methods in Financial Engineering
Title | Computational Methods in Financial Engineering PDF eBook |
Author | Erricos Kontoghiorghes |
Publisher | Springer Science & Business Media |
Pages | 425 |
Release | 2008-02-26 |
Genre | Business & Economics |
ISBN | 3540779582 |
Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
Evolutionary Algorithms for Solving Multi-Objective Problems
Title | Evolutionary Algorithms for Solving Multi-Objective Problems PDF eBook |
Author | Carlos Coello Coello |
Publisher | Springer Science & Business Media |
Pages | 810 |
Release | 2007-08-26 |
Genre | Computers |
ISBN | 0387367977 |
This textbook is a second edition of Evolutionary Algorithms for Solving Multi-Objective Problems, significantly expanded and adapted for the classroom. The various features of multi-objective evolutionary algorithms are presented here in an innovative and student-friendly fashion, incorporating state-of-the-art research. The book disseminates the application of evolutionary algorithm techniques to a variety of practical problems. It contains exhaustive appendices, index and bibliography and links to a complete set of teaching tutorials, exercises and solutions.
Evolutionary Computation in Economics and Finance
Title | Evolutionary Computation in Economics and Finance PDF eBook |
Author | Shu-Heng Chen |
Publisher | Physica |
Pages | 459 |
Release | 2013-11-11 |
Genre | Computers |
ISBN | 3790817848 |
After a decade's development, evolutionary computation (EC) proves to be a powerful tool kit for economic analysis. While the demand for this equipment is increasing, there is no volume exclusively written for economists. This volume for the first time helps economists to get a quick grasp on how EC may support their research. A comprehensive coverage of the subject is given, that includes the following three areas: game theory, agent-based economic modelling and financial engineering. Twenty leading scholars from each of these areas contribute a chapter to the volume. The reader will find himself treading the path of the history of this research area, from the fledgling stage to the burgeoning era. The results on games, labour markets, pollution control, institution and productivity, financial markets, trading systems design and derivative pricing, are new and interesting for different target groups. The book also includes informations on web sites, conferences, and computer software.