Implementing Models in Quantitative Finance: Methods and Cases

✍ Scribed by Gianluca Fusai, Andrea Roncoroni

Publisher: Springer
Year: 2008
Tongue: English
Leaves: 618
Series: Springer Finance
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages. A companion CD provides ready-to-run codes (VBA, MATLAB).

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