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by Gianluca Fusai
Implementing Models in Quantitative Finance
Cover
Home
Part 1: Methods
Chapter 1: Static Monte Carlo
Chapter 2: Dynamic Monte Carlo
Chapter 3: Dynamic Programming for Stochastic Optimization
Chapter 4: Finite Differences
Chapter 5: Linear Systems and PDEs
Chapter 6: Quadrature Methods
Chapter 7: Laplace Transform
Chapter 8: Dependence and Copulas
Part 2: Cases
Portfolio Management
Optimizing an Error
Alpha, Beta and Beyond
Automatic Trading
Vanilla options
Risk Neutral Density
American Monte Carlo
Volatile Volatility
Exotic Options
An Average Problem
Quasi Monte Carlo
Discrete Lookbacks
Electrifying the Price of Power
A Sparkling Option
Swinging on a Tree
Interest and Credit
Floating Mortgages
Basket Default Swaps
Scenario Simulation with PCA
Financial Econometrics
Parametric Estimation of Jump-Diffusion Models
Nonparametric Estimation of Jump-Diffusion Models
A Smiling GARCH
Appendix
PDE Solver
Interpolating the Term Structure
Where to buy
Gianluca Fusai
Andrea Roncoroni
A new book on commodities
by Gianluca Fusai
A new book on commodities
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
Andrea Roncoroni
,
Gianluca Fusai
,
Mark Cummins
ISBN: 978-0-470-74524-3
1064 pages
March 2015
Book Cover Final 9780470745243_MF3 (3).pdf
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Book Cover Final 9780470745243_MF3 (3).pdfBook Cover Final 9780470745243_MF3 (3).pdf