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Implementing Models in Quantitative Finance: Methods and Cases

By Andrea Roncoroni

Implementing Models in Quantitative Finance: Methods and Cases

By Andrea Roncoroni

0 - Default Title
Description
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.
Product details
Edition:
1
Number of Pages:
632
Release Date:
2008-01-17
Publication Date:
2008-01-17
Publisher:
Springer
Languages:
Original: English
ISBN10:
3540223487
ISBN13:
9783540223481
GPSR Manufacturer Reference:
[email protected]
Weight:
1219 g
Height:
160 cm
Width:
241 cm
Thickness:
43 cm
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