Implementing Models in Quantitative Finance : Methods and Cases
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, copul...
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| Auteurs principaux: | , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Serier: | Springer Finance
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| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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L'impression du document génère 604 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Implementing models in quantitative finance, methods and cases, by Gianluca Fusai, Andrea Roncoroni, Berlin, Springer, 2008, 1 vol. (XXIII-607 p.), Springer Finance, 978-3-540-22348-1 |
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| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 084 | |a 35-01. 2010 | ||
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| 100 | 1 | |a Fusai, Gianluca. | |
| 245 | 1 | 0 | |a Implementing Models in Quantitative Finance : |b Methods and Cases |c Gianluca Fusai, Andrea Roncoroni. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 1 | |a Springer Finance | |
| 500 | |a L'impression du document génère 604 p. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Notes bibliogr. Index | ||
| 505 | 1 | |a Methods 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 Problems 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 A Sparkling Option Swinging on a Tree Floating Mortgages Basket Default Swaps Scenario Simulation Using Principal Components Parametric Estimation of Jump-Diffusions Nonparametric Estimation of Jump-Diffusions A Smiling GARCH | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 Matlab® or Visual Basic for Applications® in collaboration with contributors | ||
| 650 | |a Équations différentielles | ||
| 650 | |a Mathématiques financières |x Solutions numériques | ||
| 650 | |a Finances |x Modèles mathématiques | ||
| 650 | |a Options exotiques |x Prix |x Modèles mathématiques | ||
| 700 | 1 | |a Roncoroni, Andrea. |4 aut | |
| 700 | 1 | |a Roncoroni, Andrea. |4 aut | |
| 776 | 0 | |0 123806577 |t Implementing models in quantitative finance |o methods and cases |f by Gianluca Fusai, Andrea Roncoroni |c Berlin |n Springer |d 2008 |p 1 vol. (XXIII-607 p.) |s Springer Finance |z 978-3-540-22348-1 | |
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