Simulation in Computational Finance and Economics: Tools and Emerging Applications
Release Date: August, 2012. Copyright © 2013. 378 pages.
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DOI: 10.4018/978-1-4666-2011-7, ISBN13: 9781466620117, ISBN10: 1466620110, EISBN13: 9781466620124
Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc.
Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.
Table of Contents and List of Contributors
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Alma Lilia Garcia-Almanza, Biliana Alexandrova-Kabadjova, Serafin Martinez-Jaramillo, Edward Tsang
Reviews and Testimonials
Computer scientists at the Bank of Mexico hope to promote computational simulation techniques as fundamental tools for modeling financial and economic problems by motivating young researchers to develop their own simulation-based methods to study various problems. The opening section of the collection analyzes the complex economic dynamics of payment systems and introduces agent-based modeling as a powerful simulation method for understanding participants' behavior in payment systems. Banking risk management is addressed in the second part, and examples of agent-based models in action are presented in the final section. Topics of the 18 papers include liquidity management in large value payment systems, measuring and charging for banks' systemic interconnectedness, a multi-agent financial network model of U.S. collateralized debt obligations, optimal patent design, and predicting volatile consumer markets.
– Book News Inc. Portland, OR
- Agent Based Simulations in Economics and Finance
- Computational risk analysis and modeling
- Financial Markets
- Game theory
- High frequency trading
- Simulations payment systems and methods
- Systemic risk models