Implementing Models in Quantitative Finance: Methods and Cases (Record no. 425855)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04367nam a22005775i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOKNUMBER | |
| International Standard Book Number | 9783540499596 |
| -- | 978-3-540-49959-6 |
| 024 7# - | |
| -- | 10.1007/978-3-540-49959-6 |
| -- | doi |
| 040 ## - | |
| -- | ISI Library, Kolkata |
| 050 #4 - | |
| -- | HJ9-9940 |
| 072 #7 - | |
| -- | KFFD |
| -- | bicssc |
| 072 #7 - | |
| -- | BUS051000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | KFFD |
| -- | thema |
| 082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER | |
| Classification number | 336 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Fusai, Gianluca. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Implementing Models in Quantitative Finance: Methods and Cases |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Gianluca Fusai, Andrea Roncoroni. |
| 942 ## - ADDED ENTRY ELEMENTS(KOHA) | |
| Koha item type | E-BOOKS |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| -- | author. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer | Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture | 2008. |
| 300 ## - | |
| -- | XXIII, 607 p. |
| -- | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - | |
| -- | Springer Finance, |
| -- | 1616-0533 |
| 505 0# - | |
| -- | 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. |
| 520 ## - | |
| -- | 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. |
| 650 #0 - | |
| -- | Public finance. |
| 650 #0 - | |
| -- | Finance. |
| 650 #0 - | |
| -- | Computer science |
| -- | Mathematics. |
| 650 #0 - | |
| -- | Differential equations, partial. |
| 650 #0 - | |
| -- | Numerical analysis. |
| 650 14 - | |
| -- | Public Economics. |
| -- | http://scigraph.springernature.com/things/product-market-codes/W34000 |
| 650 24 - | |
| -- | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 650 24 - | |
| -- | Computational Mathematics and Numerical Analysis. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M1400X |
| 650 24 - | |
| -- | Partial Differential Equations. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M12155 |
| 650 24 - | |
| -- | Numerical Analysis. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M14050 |
| 700 1# - | |
| -- | Roncoroni, Andrea. |
| -- | author. |
| -- | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 710 2# - | |
| -- | SpringerLink (Online service) |
| 773 0# - | |
| -- | Springer eBooks |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783540802594 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783642061073 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783540223481 |
| 830 #0 - | |
| -- | Springer Finance, |
| -- | 1616-0533 |
| 856 40 - | |
| -- | https://doi.org/10.1007/978-3-540-49959-6 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 950 ## - | |
| -- | Mathematics and Statistics (Springer-11649) |
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