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...
Salvato in:
| Autori principali: | , |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Serie: | Springer Finance
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| Soggetti: | |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
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 |
Sommario:
- 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