Implementing Models in Quantitative Finance

Methods and Cases

By: Gianluca Fusai, Andrea Roncoroni

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Hardcover | 17 January 2008

At a Glance

Hardcover
632 Pages

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24.13 x 15.88 x 2.54

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This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance (Monte Carlo, PDE, Stochastic Optimization, Copula, Econometrics). The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages. A companion CD provides ready-to-run codes (VBA, MATLAB). The book originates from class notes and case studies developed within a course on numerical methods in finance held by the authors at Bocconi University.

Industry Reviews

From the reviews:

"As the title suggests the book is divided into two parts. ... The style of the book is very inviting and it should be on the shelf of every serious researcher and practitioner in quantitative finance, including graduate students. Teachers could easily use the book in their applied courses. Overall, I think the book is a clear self-contained guide to implementing models in quantitative finance and as such it is going to be very popular in quant and academic circles." (Ita Cirovic Donev, MathDL, July, 2008)

"This application-oriented book presents the major numerical methods currently used and describes how these methods can be used to solve problems in quantitative finance. ... Each chapter includes exercises for student practice ... . The presentation is at an intermediate-advanced level and serves as an introductory tutorial to the field of quantitative finance. Quantitative analysts, researchers and graduate students in quantitative finance will find this book useful." (Stefan Henn, Mathematical Reviews, Issue 2009 g)

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Methods
Finite Difference Methods
Numerical Solution of Linear Systems
Basic Monte Carlo
Advanced Monte Carlo
Quadrature Methods
Laplace Transforms
Structuring Dependence using Copula Functions
Dynamic Programming
Cases
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
Lookback Options: A Discrete Problem
Electrifying the Price of Power
A Sparkling Option
Swinging on a Tree
Floating-Rate Mortgages
Basket Default Swaps
Scenario Simulation using Principal Components
Parametric estimation of Jump-Diffusions
Nonparametric Estimation of Jump-Diffusions
A Smiling GARCH
Appendices
Companion CD
Table of Contents provided by Publisher. All Rights Reserved.

Implementing Models in Quantitative Finance

Methods and Cases

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

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