Gianluca Fusai, Andrea Roncoroni - Implementing Models in Quantitative Finance: Methods and Cases
Published: 2008-01-17 | ISBN: 3540223487, 3642061079 | PDF | 608 pages | 10 MB
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. 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.