Overview
- 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
- Learning-by-doing approach: all steps detailed in a self-contained way
- Covers a range of numerical methods
- Blends theoretical presentation and practical implementations
- Originality in the choice of cases
- Provides detailed algorithm and the corresponding code
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (26 chapters)
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Problems
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Portfolio Management and Trading
Keywords
About this book
Reviews
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)
Authors and Affiliations
About the authors
Gianluca Fusai is Associate Professor in Financial Calculus at Università 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).
Bibliographic Information
Book Title: Implementing Models in Quantitative Finance: Methods and Cases
Authors: Gianluca Fusai, Andrea Roncoroni
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-540-49959-6
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2008
Hardcover ISBN: 978-3-540-22348-1Published: 17 January 2008
Softcover ISBN: 978-3-642-06107-3Published: 12 February 2010
eBook ISBN: 978-3-540-49959-6Published: 20 December 2007
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XXIII, 607
Topics: Public Economics, Quantitative Finance, Computational Mathematics and Numerical Analysis, Partial Differential Equations, Numerical Analysis