Overview

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. A companion CD provides ready-to-run codes (VBA, MATLAB).

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9783540802594

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<p>From the reviews: <p> 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)<p> 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 usefu

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