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Implementing Models in Quantitative Finance: Methods and Cases

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, copul...

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Main Authors: Fusai, Gianluca. (Author, http://id.loc.gov/vocabulary/relators/aut), Roncoroni, Andrea. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edition:1st ed. 2008.
Series:Springer Finance,
Subjects:
Public finance.
Economics, Mathematical .
Computer mathematics.
Partial differential equations.
Numerical analysis.
Public Economics.
Quantitative Finance.
Computational Mathematics and Numerical Analysis.
Partial Differential Equations.
Numerical Analysis.
Online Access:https://doi.org/10.1007/978-3-540-49959-6
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.

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