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Synopsis
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. It fills a gap in the current published literature by delivering a case-study collection together with a self-contained course on major numerical methods developed and used by the finance industry. The book originates from class notes and case studies developed within a course on numerical methods in finance held by the authors at Bocconi University. The first part develops a toolkit in numerical methods for finance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration.
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À propos de l?auteur
Gianluca Fusai is Associate Professor in Financial Calculus at Università degli Studi del Piemonte Orientale (Italy) and a Research Associate at Financial Options Research Center, Univeristy of Warwick. He holds a Ph.D in Finance from the Warwick Business School and a MS in Statistics and Operational Research from University of Essex, UK. His research interest are Financial Engineering, Numerical Methods, Portfolio Selection, and Financial Statistics. On this topics he has published in journals like Journal of Computational Finance, Risk, Annals of Applied Probability, International Journal of Theoretical and Applied Finance. He has worked as a consultant in the private sector (Mediolanum Assicurazioni, Selenia Luxco, Nike Consulting, Software Company, Equitable House).
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).
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)
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Springer, 2010
ISBN 10 : 3642061079
ISBN 13 : 9783642061073
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Implementing Models in Quantitative Finance: Methods and Cases
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ISBN 10 : 3642061079
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Fills a gap in the current published literature by delivering a case-study collection together with a self-contained course on major numerical methods developed and used by the finance industryLearning-by-doing approach: all steps detailed in a se. N° de réf. du vendeur 5045226
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Implementing Models in Quantitative Finance: Methods and Cases
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Springer Berlin Heidelberg, 2010
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ISBN 13 : 9783642061073
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 the Editor's web site. Origin Necessity is the mother of invention and, as such, the present work originates in class notes and problems developed for the courses 'Numerical Methods in Finance' and 'Exotic Derivatives' offered by the authors at Bocconi University within the Master in Quantitative Finance and Insurance program (from 2000-2001 to 2003-2004) and the Master of Quantitative Finance and Risk Management program (2004-2005 to present). N° de réf. du vendeur 9783642061073
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Implementing Models in Quantitative Finance: Methods and Cases
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ISBN 10 : 3642061079
ISBN 13 : 9783642061073
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain 'crash courses' in VBA and Matlab programming languages. 632 pp. Englisch. N° de réf. du vendeur 9783642061073
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Implementing Models in Quantitative Finance: Methods and Cases
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Springer Berlin Heidelberg, Springer Berlin Heidelberg Feb 2010, 2010
ISBN 10 : 3642061079
ISBN 13 : 9783642061073
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Taschenbuch. Etat : Neu. Neuware -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 the Editor¿s web site. Origin Necessity is the mother of invention and, as such, the present work originates in class notes and problems developed for the courses ¿Numerical Methods in Finance¿ and ¿Exotic Derivatives¿ offered by the authors at Bocconi University within the Master in Quantitative Finance and Insurance program (from 2000¿2001 to 2003¿2004) and the Master of Quantitative Finance and Risk Management program (2004¿2005 to present).Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 632 pp. Englisch. N° de réf. du vendeur 9783642061073
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Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)
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ISBN 10 : 3642061079
ISBN 13 : 9783642061073
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