Introduction to Computational Finance

This book will provide senior undergraduate and graduate students in the science and engineering disciplines with an understanding of the quantitative finance and investment management (FIM) business and illustrate how they can apply their quantitative skills in this area. The author having worked as a mathematical professor, systems engineer and an investment manager identifies interesting and important problems of FIM and brings to bear appropriate methods from the technical disciplines. One of the fundamental issues in the interplay between the theory and practice of FIM is a combination of model sensitivity with the lack of sufficient relevant data to accurately construct models. The markets are not stationery systems with some underlying natural law, so that model parameters are evolving and poorly estimated by historically remote data. Hence this book tries to outline the controversies of current models and offer alternate approaches where available.