Implementing Models in Quantitative Finance: Methods and Cases

• Κύριοι συγγραφείς: Fusai, Gianluca (Συγγραφέας), Roncoroni, Andrea (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Σειρά: Springer Finance
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.