书目名称 | Implementing Models in Quantitative Finance: Methods and Cases | 编辑 | Gianluca Fusai,Andrea Roncoroni | 视频video | | 概述 | 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.Learni | 丛书名称 | Springer Finance | 图书封面 |  | 描述 | 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 | 出版日期 | Book 2008 | 关键词 | JEL: G11, G13, C15, C22, C63; MATLAB; Monte Carlo simulation; Numerical methods in finance; STATISTICA; S | 版次 | 1 | doi | https://doi.org/10.1007/978-3-540-49959-6 | isbn_softcover | 978-3-642-06107-3 | isbn_ebook | 978-3-540-49959-6Series ISSN 1616-0533 Series E-ISSN 2195-0687 | issn_series | 1616-0533 | copyright | Springer-Verlag Berlin Heidelberg 2008 |
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