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Fusai, Gianluca; Roncoroni, Andrea - Implementing Models in Quantitative Finance - 9783540223481 - V9783540223481
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Implementing Models in Quantitative Finance

€ 165.97
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Description for Implementing Models in Quantitative Finance Hardcover. This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. It fills a gap in the current published literature by delivering a case-study collection together with a self-contained course on major numerical methods developed and used by the finance industry. Series: Springer Finance. Num Pages: 630 pages, 151 black & white tables, biography. BIC Classification: KFF; PBW. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 239 x 162 x 47. Weight in Grams: 1188.
Introduction This book presents and develops major numerical methods currently used for solving problems arising in quantitative ?nance. Our presentation splits into two parts. Part I is methodological, and offers a comprehensive toolkit on numerical me- ods and algorithms. This includes Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula fu- tions, transform-based methods and quadrature techniques. Part II is practical, and features a number of self-contained cases. Each case introduces a concrete problem and offers a detailed, step-by-step solution. Computer code that implements the cases and the resulting output is also included. The ... Read more

Product Details

Format
Hardback
Publication date
2008
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
632
Condition
New
Series
Springer Finance
Number of Pages
607
Place of Publication
Berlin, Germany
ISBN
9783540223481
SKU
V9783540223481
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

About Fusai, Gianluca; Roncoroni, Andrea
Gianluca Fusai is Associate Professor in Financial Calculus at Università degli Studi del Piemonte Orientale (Italy) and a Research Associate at Financial Options Research Center, Univeristy of Warwick. He holds a Ph.D in Finance from the Warwick Business School and a MS in Statistics and Operational Research from University of Essex, UK. His research interest are Financial Engineering, Numerical Methods, ... Read more

Reviews for Implementing Models in Quantitative Finance
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 ... Read more

Goodreads reviews for Implementing Models in Quantitative Finance


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