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Implementing models in quantitative finance : methods and cases

Author: Gianluca Fusai; Andrea Roncoroni
Publisher: Berlin ; New York : Springer, ©2008.
Series: Springer finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. This book develops a toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Fusai, Gianluca.
Implementing models in quantitative finance.
Berlin ; New York : Springer, ©2008
(DLC) 2007931341
(OCoLC)144551811
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Gianluca Fusai; Andrea Roncoroni
ISBN: 9783540499596 3540499598 9783540223481 3540223487
OCLC Number: 233973099
Description: 1 online resource (x xiii, 607 pages) : illustrations.
Contents: Front Matter; 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; 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.
Series Title: Springer finance.
Responsibility: Gianluca Fusai, Andrea Roncoroni.
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Abstract:

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  Read more...

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