TAILIEUCHUNG - Implementing Models in Quantitative Finance: Methods and Cases

This book presents and develops major numerical methods currently used for solving problems arising in quantitative finance. Our presentation splits into two parts. Part I is methodological, and offers a comprehensive toolkit on numerical methods and algorithms. This includes Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, 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,. | Springer Finance Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie . Davis E. Derman C. Kluppelberg E. Kopp W Schachermayer Springer Finance Springer Finance is a programme of books aimed at students academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics not only mathematical finance but foreign exchanges term structure risk management portfolio theory equity derivatives and financial economics. Ammann M. Credit Risk Valuation Methods Models and Application 2001 Back K. A Course in Derivative Securities Introduction to Theory and Computation 2005 Barucci E. Financial Markets Theory. Equilibrium Efficiency and Information 2003 Bielecki . and Rutkowski M. Credit Risk Modeling Valuation and Hedging 2002 Bingham . and Kiesel R. Risk-Neutral Valuation Pricing and Hedging of Financial Derivatives 1998 2nd ed. 2004 Brigo D. and Mercurio F. Interest Rate Models Theory and Practice 2001 2nd ed. 2006 BufR. Uncertain Volatility Models - Theory and Application 2002 Carmona . and Tehranchi . Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective 2006 Dana . and Jeanblanc M. Financial Markets in Continuous Time 2003 Deboeck G. and Kohonen T. Editors Visual Explorations in Finance with Self-Organizing Maps 1998 Delbaen F. and Schachermayer W. The Mathematics of Arbitrage 2005 Elliott . and Kopp . Mathematics of Financial Markets 1999 2nd ed. 2005 Fengler . Semiparametric Modeling of Implied Volatility 2005 Geman H. Madan D. Pliska . and Vorst T. Editors Mathematical Finance - Bachelier Congress 2000 2001 Gundlach M. Lehrbass F. Editors CreditRisk in the Banking Industry 2004 Jondeau E. Financial Modeling Under Non-Gaussian Distributions 2007 Kellerhals . Asset Pricing 2004 Kulpmann M. Irrational Exuberance Reconsidered 2004 Kwok . Mathematical Models of Financial Derivatives 1998 Malliavin P. and Thalmaier A. Stochastic

• Ngân hàng - Tín dụng
• Static Monte Carlo
• variance Reduction
• Dynamic Monte Carlo
• Controlled Dynamical Systems
• Iterative Methods
• Portfolio Management
• Numerical Inversion