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Implementing models in quantitative finance : methods and cases

Implementing models in quantitative finance : methods and cases (Loan 6 times)

Material type
단행본
Personal Author
Fusai, Gianluca. Roncoroni, Andrea.
Title Statement
Implementing models in quantitative finance : methods and cases / Gianluca Fusai, Andrea Roncoroni.
Publication, Distribution, etc
Berlin :   Springer ,   c2008.  
Physical Medium
xxiii, 607 p. : ill. ; 24 cm.
Series Statement
Springer finance
ISBN
3540223487 9783540223481
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Finance -- Mathematical models.
000 00788namuu2200241 4500
001 000045432203
005 20080404105533
008 080402s2008 gw a b 001 eng d
020 ▼a 3540223487
020 ▼a 9783540223481
040 ▼a 211009 ▼c 211009 ▼d 211009
082 0 4 ▼a 332.0151 ▼2 22
090 ▼a 332.0151 ▼b F993i
100 1 ▼a Fusai, Gianluca.
245 1 0 ▼a Implementing models in quantitative finance : ▼b methods and cases / ▼c Gianluca Fusai, Andrea Roncoroni.
260 ▼a Berlin : ▼b Springer , ▼c c2008.
300 ▼a xxiii, 607 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a Springer finance
504 ▼a Includes bibliographical references and index.
650 0 ▼a Finance ▼x Mathematical models.
700 1 ▼a Roncoroni, Andrea.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.0151 F993i Accession No. 121167701 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

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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