Описание: This book puts numerical methods in action for the purpose of solving practical problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab or Visual Basic. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000.
Автор: Epps, T.wake Название: Quantitative finance ISBN: 0470431997 ISBN-13(EAN): 9780470431993 Издательство: Wiley Рейтинг: Цена: 21218.00 р. Наличие на складе: Поставка под заказ.
Описание: This book presents a course in quantitative finance, including exercises and worked solutions. It emphasizes instruction and technique in covering the essential topics for a quantitative finance survey course: portfolio theory, decision theory, pricing of primary assets, pricing of derivatives, and the empirical behavior of prices.
Описание: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set.
Автор: DeFusco Название: Quantitative investment analysis 2e ISBN: 0470052201 ISBN-13(EAN): 9780470052204 Издательство: Wiley Рейтинг: Цена: 10561.00 р. Наличие на складе: Поставка под заказ.
Описание: Outlines the tools and techniques needed to understand and apply quantitative methods to investment process. This book contains challenging problems and a set of solutions as well as learning outcome statements and summary overviews. It covers topics such as: The time value of money; Discounted cash flow; Probability distributions; and more.
Автор: Paul Wilmott Название: Paul Wilmott Introduces Quantitative Finance ISBN: 0471498629 ISBN-13(EAN): 9780471498629 Издательство: Wiley Цена: 5542.00 р. Наличие на складе: Поставка под заказ.
Описание: In this student edition the author gives a comprehensive introduction to theory and practice of financial engineering in a manner designed to be accessible to students and those who are new to the financial markets. It is presented in a unique and accessible style with illustrations, graphs and side-bars with explanations working through the maths. The author's style from his previous book of providing the reader with answers to the problems has been maintained throughout this expanded work.
"Dr Jan Dash has achieved a success that is truly unique. It is common to find texts from authors steeped in climate science or in decision making processes. But it is rare to find someone skilled at both. Dr Dash knows his science and he knows how to use it to make informed decisions as we face a changing and challenging climate."
Dr John Abraham University of St Thomas, USA
Review of the First Edition:
"... this document brings a wealth of practical information on how work is done in real world financial markets, and covers an impressive number of topics, ranging from management and computer system issues to research themes whose potential applications are yet to be explored. It can prove a useful tool to anyone already well acquainted with the basics of mathematical finance, including financial mathematicians, but also quantitative analysts wishing to learn more of the fundamentals without paying too high a price in mathematical prerequisites."
Mathematical Reviews
Written by a physicist with extensive experience as a risk/finance quant, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or papers. A "Technical Index" indicates the mathematical level for each chapter.
This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; "Smart Monte Carlo" and American Monte Carlo; Trend Risk -- time scales and risk, the Macro-Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations -- new techniques; and Psychology and option models.
Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management -- traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a function toolkit; risk lab -- the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and "Life as a Quant" -- communication issues, sociology, stories, and advice.
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