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Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)

Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)

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Language English
Contributor(s) Gianluca Fusai, Andrea Roncoroni
Binding Paperback
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Overview: 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, shastic 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. 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 Associate Professor of Finance at ESSEC Business School (

Features: Implementing Models in Quantitative Finance: Methods and Cases

  • Business And Economics
Product Details
Language English
Publication Date February 12, 2010
Publisher Springer
Contributor(s) Gianluca Fusai, Andrea Roncoroni
Binding Paperback
Edition Softcover reprint of hardcover 1st ed. 2008
Page Count 607
ISBN 10 3642061079
ISBN 13 9783642061073
Dimensions and Weight
Product Dimensions 15.5 cm x 3.4 cm x 23.2 cm
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  1.  Does this book include CD-ROM for Matlab Codes? 26 March, 2012 On Junglee.com
    Does this book include CD-ROM for Matlab Codes?
    Let me know i need the book with CD-ROM.
    Thanks in advance.
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