---

＜E-Book＞
Implementing Models in Quantitative Finance: Methods and Cases / by Gianluca Fusai, Andrea Roncoroni
(Springer Finance. ISSN:21950687)

Edition	1st ed. 2008.
Publisher	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
Year	2008
Language	English
Size	XXIII, 607 p : online resource
Authors	*Fusai, Gianluca author Roncoroni, Andrea author SpringerLink (Online service)
Subjects	LCSH:Finance, Public LCSH:Social sciences -- Mathematics  All Subject Search LCSH:Mathematics -- Data processing  All Subject Search LCSH:Differential equations LCSH:Numerical analysis FREE:Public Economics FREE:Mathematics in Business, Economics and Finance FREE:Computational Mathematics and Numerical Analysis FREE:Differential Equations FREE:Numerical Analysis
Notes	Methods -- Static Monte Carlo -- Dynamic Monte Carlo -- Dynamic Programming for Stochastic Optimization -- Finite Difference Methods -- Numerical Solution of Linear Systems -- Quadrature Methods -- The Laplace Transform -- Structuring Dependence using Copula Functions -- Problems -- Portfolio Selection: “Optimizing” an Error -- Alpha, Beta and Beyond -- Automatic Trading: Winning or Losing in a kBit -- Estimating the Risk-Neutral Density -- An “American” Monte Carlo -- Fixing Volatile Volatility -- An Average Problem -- Quasi-Monte Carlo: An Asian Bet -- Lookback Options: A Discrete Problem -- Electrifying the Price of Power -- A Sparkling Option -- Swinging on a Tree -- Floating Mortgages -- Basket Default Swaps -- Scenario Simulation Using Principal Components -- Parametric Estimation of Jump-Diffusions -- Nonparametric Estimation of Jump-Diffusions -- A Smiling GARCH This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithmsare implemented using either Matlab® or Visual Basic for Applications® in collaboration with contributors HTTP:URL=https://doi.org/10.1007/978-3-540-49959-6

 Similar Items