"Computational Finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not...

We propose here a naive model to forecast ex-ante Value-at-Risk (VaR) using a shrinkage estimator between realized volatility estimated on past return time series, and implied volatility extracted from option pricing data. Implied volatility is often indicated as the operators expectation about...

Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Table of Contents -- Preface -- Part I: Programming techniques for financial calculus -- Chapter 1: An introduction to MATLAB®with applications -- 1.1: MATLAB®basics -- 1.1.1: Preliminary elements -- 1.1.2: Vectors and...

Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For this reason, passive wealth management has emerged in recent decades to offer returns close to benchmarks at a lower...