Implementing Models in Quantitative Finance : Methods and Cases
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.
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Details
- ISBN-13: 9783540223481
- ISBN-10: 3540223487
- Publisher: Springer
- Publish Date: January 2008
- Dimensions: 9.43 x 6.3 x 1.07 inches
- Shipping Weight: 2.19 pounds
- Page Count: 607
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