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Titlebook: Implementing Models in Quantitative Finance: Methods and Cases; Gianluca Fusai,Andrea Roncoroni Book 2008 Springer-Verlag Berlin Heidelber

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書目名稱Implementing Models in Quantitative Finance: Methods and Cases
編輯Gianluca Fusai,Andrea Roncoroni
視頻videohttp://file.papertrans.cn/463/462639/462639.mp4
概述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.Learni
叢書名稱Springer Finance
圖書封面Titlebook: Implementing Models in Quantitative Finance: Methods and Cases;  Gianluca Fusai,Andrea Roncoroni Book 2008 Springer-Verlag Berlin Heidelber
描述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 cases encompass a wide variety of quantitative issues arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. The corresponding problems cover model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. R We provide algorithms implemented using either Matlab or Visual Basic for R Applications (VBA). Several codes are made available through a link accessible from
出版日期Book 2008
關鍵詞JEL: G11, G13, C15, C22, C63; MATLAB; Monte Carlo simulation; Numerical methods in finance; STATISTICA; S
版次1
doihttps://doi.org/10.1007/978-3-540-49959-6
isbn_softcover978-3-642-06107-3
isbn_ebook978-3-540-49959-6Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer-Verlag Berlin Heidelberg 2008
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Book 2008del simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. R We provide algorithms implemented using either Matlab or Visual Basic for R Applications (VBA). Several codes are made available through a link accessible from
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the elevation change. The findings revealed that the study area experienced a significant elevation change of 1.60 m within a week-long duration (10/12/2022–17/12/2022), which is an exceptional rate of change for 7?days of interval. The outcomes of this research, therefore, provide crucial data for
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