Implementing Models in Quantitative Finance 2024 pdf epub mobi 电子书

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发表于2024-10-01

Implementing Models in Quantitative Finance 2024 pdf epub mobi 电子书

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出版者:Springer

作者:Gianluca Fusai

出品人:

页数:607

译者:

出版时间:2008-03-04

价格:USD 99.00

装帧:Hardcover

isbn号码:9783540223481

丛书系列:springer finance

图书标签: 金融 springer_finance Quantitative 量化 finance 金融工程英文原版 quantitative

Implementing Models in Quantitative Finance 2024 pdf epub mobi 电子书图书描述

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, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either MatlabA(R) or Visual Basic for ApplicationsA(R) in collaboration with contributors.

Implementing Models in Quantitative Finance 2024 pdf epub mobi 电子书

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