Implementing Models in Quantitative Finance: Methods and Cases

1. Auflage. Softcover version of original hardcover Auflage 2008
ISBN: 978-3-642-06107-3
Verlag: Springer

Buch, Englisch, 607 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 943 g

Reihe: Springer Finance

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. It fills a gap in the current published literature by delivering a case-study collection together with a self-contained course on major numerical methods developed and used by the finance industry. The book originates from class notes and case studies developed within a course on numerical methods in finance held by the authors at Bocconi University. The first part develops a toolkit in numerical methods for finance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration.

Zielgruppe

Research

Autoren/Hrsg.

Fusai, Gianluca

Roncoroni, Andrea

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

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.

Über Autor(innen)

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 (Paris-Singapore), Senior Lecturer at Bocconi University (Milan), and Co-director of the Master in Energy Finance at MIP - Politecnico di Milano. He holds PhDs in Applied Mathematics and in Finance. His research interests cover Energy and Commodity Finance, Financial Modeling, Risk Management and Derivative Structuring. He consults for private companies and lectures for private and public institutions (International Energy Agency, Italian Stock Exchange, Italian Energy Authority, Italian Power Exchange, University Paris Dauphine, University of Oslo). He regularly publishes in academic journals (J.of Business, J.of Banking and Finance, Intl.J.of Business).