Fusai, Gianluca
Implementing Models in Quantitative Finance: Methods and Cases
Part I. Methods
1. Static Monte Carlo
2. Dynamic Monte Carlo
3. Dynamic Programming for Stochastic Optimization
4. Finite Difference Methods
5. Numerical Solution of Linear Systems
6. Quadrature Methods
7. The Laplace Transform
8. Structuring Dependence using Copula Functions
Part II. Problems
9. Portfolio Selection: “Optimizing” an Error
10. Alpha, Beta and Beyond
11. Automatic Trading: Winning or Losing in a kBit
12. Estimating the Risk-Neutral Density
13. An “American” Monte Carlo
14. Fixing Volatile Volatility
15. An Average Problem
16. Quasi-Monte Carlo: An Asian Bet
17. Lookback Options: A Discrete Problem
18. Electrifying the Price of Power
19. A Sparkling Option
20. Swinging on a Tree
21. Floating Mortgages
22. Basket Default Swaps
23. Scenario Simulation Using Principal Components
24. Parametric Estimation of Jump-Diffusions
25. Nonparametric Estimation of Jump-Diffusions
26. A Smiling GARCH
DRM-restrictions
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Keywords: MATHEMATICS / General MAT000000
- Author(s)
- Fusai, Gianluca
- Roncoroni, Andrea
- Publisher
- Springer
- Publication year
- 2008
- Language
- en
- Edition
- 1
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783540499596