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Implementing Models in Quantitative Finance: Methods and Cases Gianluca Fusai

Implementing Models in Quantitative Finance: Methods and Cases By Gianluca Fusai

Implementing Models in Quantitative Finance: Methods and Cases by Gianluca Fusai


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Summary

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration.

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Implementing Models in Quantitative Finance: Methods and Cases Summary

Implementing Models in Quantitative Finance: Methods and Cases by Gianluca Fusai

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.

Implementing Models in Quantitative Finance: Methods and Cases Reviews

From the reviews:

As the title suggests the book is divided into two parts. ... The style of the book is very inviting and it should be on the shelf of every serious researcher and practitioner in quantitative finance, including graduate students. Teachers could easily use the book in their applied courses. Overall, I think the book is a clear self-contained guide to implementing models in quantitative finance and as such it is going to be very popular in quant and academic circles. (Ita Cirovic Donev, MathDL, July, 2008)

This application-oriented book presents the major numerical methods currently used and describes how these methods can be used to solve problems in quantitative finance. ... Each chapter includes exercises for student practice ... . The presentation is at an intermediate-advanced level and serves as an introductory tutorial to the field of quantitative finance. Quantitative analysts, researchers and graduate students in quantitative finance will find this book useful. (Stefan Henn, Mathematical Reviews, Issue 2009 g)

About Gianluca Fusai

Gianluca Fusai is Associate Professor in Financial Calculus at Universita degli Studi del Piemonte Orientale (Italy) and a Research Associate at Financial Options Research Center, Univeristy of Warwick. He holds a Ph.D in Finance from the Warwick Business School and a MS in Statistics and Operational Research from University of Essex, UK. His research interest are Financial Engineering, Numerical Methods, Portfolio Selection, and Financial Statistics. On this topics he has published in journals like Journal of Computational Finance, Risk, Annals of Applied Probability, International Journal of Theoretical and Applied Finance. He has worked as a consultant in the private sector (Mediolanum Assicurazioni, Selenia Luxco, Nike Consulting, Software Company, Equitable House).

Andrea Roncoroni is Associate Professor of Finance at ESSEC Business School (Paris-Singapore), Senior Lecturer at Bocconi University (Milan), and Co-director of the Master in Energy Finance at MIP - Politecnico di Milano. He holds PhDs in Applied Mathematics and in Finance. His research interests cover Energy and Commodity Finance, Financial Modeling, Risk Management and Derivative Structuring. He consults for private companies and lectures for private and public institutions (International Energy Agency, Italian Stock Exchange, Italian Energy Authority, Italian Power Exchange, University Paris Dauphine, University of Oslo). He regularly publishes in academic journals (J.of Business, J.of Banking and Finance, Intl.J.of Business).

Table of Contents

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.

Additional information

CIN3540223487A
9783540223481
3540223487
Implementing Models in Quantitative Finance: Methods and Cases by Gianluca Fusai
Used - Well Read
Hardback
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
2008-01-17
607
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book. We do our best to provide good quality books for you to read, but there is no escaping the fact that it has been owned and read by someone else previously. Therefore it will show signs of wear and may be an ex library book

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