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 (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.
Full Product Details
Author: Gianluca Fusai ,
Andrea Roncoroni
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Dimensions:
Width: 15.50cm
, Height: 2.70cm
, Length: 23.50cm
Weight: 1.219kg
ISBN: 9783540223481
ISBN 10: 3540223487
Pages: 607
Publication Date: 17 January 2008
Audience:
College/higher education
,
Professional and scholarly
,
Postgraduate, Research & Scholarly
,
Professional & Vocational
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Reviews
From the reviews: <p> As the title suggests the book is divided into two parts. a ] 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)
"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)"
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)
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)
Author Information
Gianluca Fusai is Associate Professor in Financial Calculus at Universita 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, Portfolio Selection, and Financial Statistics. On this topics he has published in journals like Journal of Computational Finance, Risk, Annals of Applied Probability, International Journal of Theoretical and Applied Finance. He has worked as a consultant in the private sector (Mediolanum Assicurazioni, Selenia Luxco, Nike Consulting, Software Company, Equitable House). Andrea Roncoroni is Associate Professor of Finance at ESSEC Business School (Paris-Singapore), Senior Lecturer at Bocconi University (Milan), and Co-director of the Master in Energy Finance at MIP - Politecnico di Milano. He holds PhDs in Applied Mathematics and in Finance. His research interests cover Energy and Commodity Finance, Financial Modeling, Risk Management and Derivative Structuring. He consults for private companies and lectures for private and public institutions (International Energy Agency, Italian Stock Exchange, Italian Energy Authority, Italian Power Exchange, University Paris Dauphine, University of Oslo). He regularly publishes in academic journals (J.of Business, J.of Banking and Finance, Intl.J.of Business).
