Implementing Models in Quantitative Finance: Methods and Cases

• Main Authors: Fusai, Gianluca (Author), Roncoroni, Andrea (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Series: Springer Finance
• Subjects: Partial differential equations.; Economics, Mathematical.; Computer mathematics.; Numerical analysis.; Public finance.; Economics.; Public Economics.; Quantitative Finance.; Computational Mathematics and Numerical Analysis.; Partial Differential Equations.; Numerical Analysis.

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, copul...