Erschienen: 20.12.2007 Abbildung von Roncoroni / Fusai | Implementing Models in Quantitative Finance: Methods and Cases | 2008 | 2007

Roncoroni / Fusai

Implementing Models in Quantitative Finance: Methods and Cases

2008 2007. eBook , eBook. PDF

Springer-Verlag GmbH. ISBN 978-3-540-49959-6

In englischer Sprache

Das Werk ist Teil der Reihe: Springer Finance


This book puts numerical methods in action for the purpose of solving practical 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, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and 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 algorithms are implemented using either Matlab or Visual Basic and are all made available in a companion CD. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000. TOC:Contents: Part I: Methods. Finite Difference Methods; Numerical Solution of Linear Systems; Basic Monte Carlo; Advanced Monte Carlo; Quadrature Methods; Laplace Transforms; Structuring Dependence using Copula Functions; Dynamic Programming - Part II: Cases. 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; Lookback Options: A Discrete Problem; Electrifying the Price of Power; A Sparkling Option; Swinging on a Tree; Floating-Rate Mortgages; Basket Default Swaps; Scenario Simulation using Principal Components; Parametric estimation of Jump-Diffusions; Nonparametric Estimation of Jump-Diffusions; A Smiling GARCH. Appendices. Companion CD. .


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