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Implementing Models in Quantitative Finance: Methods and Cases
Hardcover
Series: Springer Finance
ISBN13: 9783540223481
Publisher: Springer
Published: Jan 17 2008
Pages: 607
Weight: 2.19
Height: 1.07 Width: 6.30 Depth: 9.43
Language: English
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.
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