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Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance) by Gianluca Fusai; Andrea Roncoroni is a nonfiction available to read on EtoBox.

What is Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance) about?

Introduction This book presents and develops major numerical methods currently used for solving problems arising in quantitative ?nance. Our presentation splits into two parts. Part I is methodological, and offers a comprehensive toolkit on numerical me- ods and algorithms. This includes Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula fu- tions, transform-based methods and quadrature techniques. Part II is practical, and features a number of self-contained cases. Each case introduces a concrete problem and offers a detailed, step-by-step solution. Computer code that implements the cases and the resulting output is also included. The cases encompass a wide variety of quantitative issues arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. The corresponding problems cover model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. R We provide algorithms implemented using either Matlab or Visual Basic for R Applications (VBA). Several codes are made available through a link accessible from

Who reads Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)?

Author

Gianluca Fusai; Andrea Roncoroni

Publisher

Springer Berlin Heidelberg : Imprint: Springer

Published

2008

Language

EN

ISBN

9783642061073

Category

nonfiction

Subjects

Finance, Mathematics, Engineering