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| E-Books | Biblioteca da FCTUNL Online | Não Ficção | HG106.SPR FCT 95594 (Browse shelf) | 1 | Available |
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| HG106.SPR FCT 94266 Optimal control models in finance | HG106.SPR FCT 94597 Extreme financial risks | HG106.SPR FCT 95189 Optimisation et contrôle stochastique appliqués à la finance | HG106.SPR FCT 95594 Implementing models in quantitative finance | HG173.SPR FCT 81304 Asymptotic chaos expansions in finance | HG173.SPR FCT 81861 Mathematical finance | HG173.SPR FCT 81886 Inspired by finance |
Colocação: Online
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, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab® or Visual Basic for Applications® in collaboration with contributors.
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