Implementing Models in Quantitative Finance: Methods and Cases

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Fusai, Gianluca. Implementing Models in Quantitative Finance: Methods and Cases by Gianluca Fusai, Andrea Roncoroni. -
XXIII, 607 p. online resource. - (Springer Finance, ) Content notes : 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. 9783540499596 * Public finance. Finance. Computer science - Mathematics. Differential equations, partial. Numerical analysis. Public Economics. Quantitative Finance. Computational Mathematics and Numerical Analysis. Partial Differential Equations. Numerical Analysis. * Roncoroni, Andrea., aut, http://id.loc.gov/vocabulary/relators/aut * Title * Series