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Field name	Details
Dewey Class	519
Title	Implementing Models in Quantitative Finance: Methods and Cases ([Ebook]) / by Gianluca Fusai, Andrea Roncoroni.
Author	Fusai, Gianluca
Added Personal Name	Roncoroni, Andrea
Other name(s)	SpringerLink (Online service)
Publication	Berlin, Heidelberg : Springer , 2008.
Physical Details	: online resource.
Series	Springer finance
ISBN	9783540499596
Summary Note	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 MatlabÂ® or Visual Basic for Applicationsé in collaboration with contributors.:
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-3-540-49959-6
Links to Related Works	Subject References: Computational Mathematics and Numerical Analysis . Differential equations, Partial . Finance . Mathematics . Numerical Analysis . Partial differential equations . Quantitative Finance . Authors: author . Fusai, Gianluca . Roncoroni, Andrea . Corporate Authors: SpringerLink (Online service) . Series: Springer finance . Classification: 519 . 519 (DDC 23) .

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Implementing Models in Quantitative Finance: Methods and Cases

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