Implementing Models in Quantitative Finance: Methods and Cases
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, copul...
Main Authors: | , |
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Format: | eBook |
Language: | English |
Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2008, 2008
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Edition: | 1st ed. 2008 |
Series: | Springer Finance
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Subjects: | |
Online Access: | |
Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
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.