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

Printing: not available
Clipboard copying: not available

Nyckelord: MATHEMATICS / General MAT000000