Implementing Models in Quantitative Finance: Methods and Cases / Springer Finance (PDF)
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,...
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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.
Andrea Roncoroni is Associate Professor of Finance at ESSEC Business School (Paris-Singapore), Senior Lecturer at Bocconi University (Milan), and Co-director of the Master in Energy Finance at MIP - Politecnico di Milano. He holds PhDs in Applied Mathematics and in Finance. His research interests cover Energy and Commodity Finance, Financial Modeling, Risk Management and Derivative Structuring. He consults for private companies and lectures for private and public institutions (International Energy Agency, Italian Stock Exchange, Italian Energy Authority, Italian Power Exchange, University Paris Dauphine, University of Oslo). He regularly publishes in academic journals (J.of Business, J.of Banking and Finance, Intl.J.of Business).
- Autoren: Gianluca Fusai , Andrea Roncoroni
- 2007, 2008, 607 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3540499598
- ISBN-13: 9783540499596
- Erscheinungsdatum: 20.12.2007
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- Dateiformat: PDF
- Größe: 12 MB
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"As the title suggests the book is divided into two parts. … The style of the book is very inviting and it should be on the shelf of every serious researcher and practitioner in quantitative finance, including graduate students. Teachers could easily use the book in their applied courses. Overall, I think the book is a clear self-contained guide to implementing models in quantitative finance and as such it is going to be very popular in quant and academic circles." (Ita Cirovic Donev, MathDL, July, 2008)
"This application-oriented book presents the major numerical methods currently used and describes how these methods can be used to solve problems in quantitative finance. … Each chapter includes exercises for student practice … . The presentation is at an intermediate-advanced level and serves as an introductory tutorial to the field of quantitative finance. Quantitative analysts, researchers and graduate students in quantitative finance will find this book useful." (Stefan Henn, Mathematical Reviews, Issue 2009 g)
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