"Computational Methods in Finance is a book developed from the author's courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the...

The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time. The authors of this article compare various models for calibrating volatility surfaces in order to price up‐and‐out...

In this paper, we introduce alternating line multigrid smoothing scheme, as both pre- and post-smoother for solving discretized scalar two-dimensional convection-diffusion equations. For convection dominated problems (high Reynolds-number) we obtain a fast convergence rate. Our results are based...

Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its...

We propose a golf inspired Advisor Assessment Framework with a Scorecard, Fairway Average and Handicap as performance measures to assess an Advisor’s investment recommendations. The Scorecard measures the performance of an Advisor in relation to a benchmark at each interval of the evaluation...

Principal Component Analysis (PCA) is an important methodology to reduce and extract meaningful signals from large data-sets. Financial markets introduce time and non stationarity aspects, where applying standard PCA methods may not give stable results. We propose robust rolling PCA (R2-PCA)...