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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
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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 Derivatives
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
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