Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)
Editorial Reviews
Book Description
This book puts numerical methods in action for the purpose of solving practical 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, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and 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 Matlab or Visual Basic and are all made available in a companion CD. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000.
About the Author
Gianluca Fusai is Associate Professor in Financial Calculus at Università degli Studi del Piemonte Orientale (Italy) and a Research Associate at Financial Options Research Center, Univeristy of Warwick. He holds a Ph.D in Finance from the Warwick Business School and a MS in Statistics and Operational Research from University of Essex, UK. His research interest are Financial Engineering, Numerical Methods, Portfolio Selection, and Financial Statistics. On this topics he has published in journals like Journal of Computational Finance, Risk, Annals of Applied Probability, International Journal of Theoretical and Applied Finance. He has worked as a consultant in the private sector (Mediolanum Assicurazioni, Selenia Luxco, Nike Consulting, Software Company, Equitable House). Andrea Roncoroni is Assistant Professor in Finance at ESSEC Business School (France). He holds a MS in Mathematics from the Courant Institute of Mathematical Finance at the New York University, a Ph.D. in Applied Mathematics from the University of Trieste, and a Ph.D. in Finance from the University Paris Dauphine. His research interests span Financial Modelling, Econometrics, Derivative Valuation and Risk Management in Interest-Rate and Energy Markets. He has worked as a consultant for private and public institutions (Gaz de France, Fideuram Capital Asset Manegement, Italian Stock Exchange, Italian Authority for Energy and Gas Markets).
Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance),Gianluca Fusai,Andrea Roncoroni,Springer,3540223487,Business / Economics / Finance,Differential Equations,Finance,Mathematics,Number Systems,Science/Mathematics,Applied mathematics,Business & Economics / Finance,Monte Carlo simulation,Numerical methods in finance,copula,financial engineering,partial differential equations
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