ISBN: 9783642061073 - implementing models in quantitative finance: methods and cases (9 risultati)

Taschenbuch. Condizione: 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).…

Taschenbuch. Condizione: Neu. Implementing Models in Quantitative Finance: Methods and Cases | Gianluca Fusai (u. a.) | Taschenbuch | Springer Finance | xxiii | Englisch | 2010 | Springer | EAN 9783642061073 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.…

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Taschenbuch. Condizione: 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.…

Condizione: 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.…

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 632 pp. Englisch.…

Condizione: New. Print on Demand.

Condizione: New. PRINT ON DEMAND.