Implementing models in quantitative finance : methods and cases
著者
書誌事項
Implementing models in quantitative finance : methods and cases
（Springer finance）
Springer, c2008
- : [hard]
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注記
Bibliography: p. [573]-597
Includes index
内容説明・目次
内容説明
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
目次
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.
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