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Editorial Reviews
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From the reviews:
"As the title suggests the book is divided into two parts. … The style of the book is very inviting and it should be on the shelf of every serious researcher and practitioner in quantitative finance, including graduate students. Teachers could easily use the book in their applied courses. Overall, I think the book is a clear self-contained guide to implementing models in quantitative finance and as such it is going to be very popular in quant and academic circles." (Ita Cirovic Donev, MathDL, July, 2008)
"This application-oriented book presents the major numerical methods currently used and describes how these methods can be used to solve problems in quantitative finance. … Each chapter includes exercises for student practice … . The presentation is at an intermediate-advanced level and serves as an introductory tutorial to the field of quantitative finance. Quantitative analysts, researchers and graduate students in quantitative finance will find this book useful." (Stefan Henn, Mathematical Reviews, Issue 2009 g)
Product Description
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 Matlab® or Visual Basic for Applications® in collaboration with contributors.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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quadrature methods, copula functions, automatic trading, portfolio selection, discrete problem, quantitative finance, exact density, moment matching, conjugate gradient method, vanilla options, upper band, lower band, potential jump time, resampled portfolios, function pdepe, asymmetric trading rule, using copula functions, spot price dynamics, copula generator, refinancing times, discrete barrier option, jump occurrence, copula density, optimal exercise policy, basket default swaps Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Structuring Dependence, Example Let, Numerical Solution of Linear Systems, Finite Difference Methods, Problem Statement, Simulation of Random Variables, Discretization Setting, Newton-Cotes Formulae, Floating Mortgages, Fast Fourier Transform, Pricing Using Characteristic Functions, Fixing Volatile Volatility, Sparkling Option, Scenario Simulation Using Principal Components, Estimating the Risk-Neutral Density, Parametric Estimation of Jump-Diffusions, Illustrative Examples, Euro Bonds, Mixed-Jump Diffusions, Microsoft Corp, Dynamic Programming, Variant Function, Electrifying the Price of Power, Solution Metodology Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
quadrature methods, copula functions, automatic trading, portfolio selection, discrete problem, quantitative finance, exact density, moment matching, conjugate gradient method, vanilla options, upper band, lower band, potential jump time, resampled portfolios, function pdepe, asymmetric trading rule, using copula functions, spot price dynamics, copula generator, refinancing times, discrete barrier option, jump occurrence, copula density, optimal exercise policy, basket default swaps Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Structuring Dependence, Example Let, Numerical Solution of Linear Systems, Finite Difference Methods, Problem Statement, Simulation of Random Variables, Discretization Setting, Newton-Cotes Formulae, Floating Mortgages, Fast Fourier Transform, Pricing Using Characteristic Functions, Fixing Volatile Volatility, Sparkling Option, Scenario Simulation Using Principal Components, Estimating the Risk-Neutral Density, Parametric Estimation of Jump-Diffusions, Illustrative Examples, Euro Bonds, Mixed-Jump Diffusions, Microsoft Corp, Dynamic Programming, Variant Function, Electrifying the Price of Power, Solution Metodology Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
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