Implementing Models in Quantitative Finance: Methods and Cases

By Gianluca Fusai and Andrea Roncoroni

Book Overview

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. It fills a gap in the current published literature by delivering a case-study collection together with a self-contained course on major numerical methods developed and used by the finance industry. The book originates from class notes and case studies developed within a course on numerical methods in finance held by the authors at Bocconi University. The first part develops a toolkit in numerical methods for finance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration.

• Format: Hardcover
• Language: English
• ISBN: 3540223487
• ISBN13: 9783540223481
• Release Date: January 2008
• Publisher: Springer
• Length: 607 Pages
• Weight: 2.25 lbs.
• Dimensions: 1.1" x 6.3" x 9.4"