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

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Item description for Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance) by Gianluca Fusai & Andrea Roncoroni...

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 MatlabAr or Visual Basic for ApplicationsAr in collaboration with contributors.

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Item Specifications...

Pages   607
Est. Packaging Dimensions:   Length: 1" Width: 6.25" Height: 9.5"
Weight:   2.2 lbs.
Binding  Hardcover
Release Date   Mar 4, 2008
Publisher   Springer
ISBN  3540223487  
ISBN13  9783540223481  

Availability  136 units.
Availability accurate as of Oct 23, 2016 11:30.
Usually ships within one to two business days from La Vergne, TN.
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More About Gianluca Fusai & Andrea Roncoroni

Register your artisan biography and upload your photo! Gianluca Fusai is Associate Professor in Financial Calculus at UniversitA 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 Assistant Professor in Finance at ESSEC Business School (France). He holds a MS in Mathematics from the Courant Institute of Mathematical Finance at the New York University, a Ph.D. in Applied Mathematics from the University of Trieste, and a Ph.D. in Finance from the University Paris Dauphine. His research interests span Financial Modelling, Econometrics, Derivative Valuation and Risk Management in Interest-Rate and Energy Markets. He has worked as a consultant for private and public institutions (Gaz de France, Fideuram Capital Asset Manegement, Italian Stock Exchange, Italian Authority for Energy and Gas Markets).

Gianluca Fusai has an academic affiliation as follows - Universit? degli Studi del Piemonte.

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1Books > Special Features > New & Used Textbooks > Business & Finance > Economics
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10Books > Subjects > Science > Mathematics > Applied > Differential Equations
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