| Description |
1 online resource (x xiii, 607 pages) : illustrations |
| Series |
Springer finance |
|
Springer finance.
|
| Contents |
Front Matter; Static Monte Carlo; Dynamic Monte Carlo; Dynamic Programming for Stochastic Optimization; Finite Difference Methods; Numerical Solution of Linear Systems; Quadrature Methods; The Laplace Transform; Structuring Dependence using Copula Functions; Portfolio Selection: "Optimizing" an Error; Alpha, Beta and Beyond; Automatic Trading: Winning or Losing in a kBit; Estimating the Risk-Neutral Density; An "American" Monte Carlo; Fixing Volatile Volatility; An Average Problem; Quasi-Monte Carlo: An Asian Bet; Lookback Options: A Discrete Problem; Electrifying the Price of Power |
| Summary |
Puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. This book develops a toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques |
| Bibliography |
Includes bibliographical references (pages 573-597) and index |
| Notes |
English |
|
Print version record |
| In |
Springer eBooks |
| Subject |
Finance -- Mathematical models.
|
|
Finance.
|
|
finance.
|
|
BUSINESS & ECONOMICS -- Finance.
|
|
Finance -- Mathematical models.
|
|
Finance -- Mathematical models
|
| Form |
Electronic book
|
| Author |
Roncoroni, Andrea.
|
| LC no. |
2007931341 |
| ISBN |
9783540499596 |
|
3540499598 |
|
9783540223481 |
|
3540223487 |
|
